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- Author:
-
Werning, Ivan
- Subject:
- Social Sciences
- Institution Name:
- M.I.T.
- Collection:
-
MIT OpenCourseWare
- Grade Level:
- Post-secondary
- Abstract:
Deterministic optimization: maximum principle, dynamic programming, calculus of variations, optimal control, dynamic games. Stochastic optimization: stochastic optimal control and dynamic programming, Markov processes, Ito calculus, Markov games. Applications. Dynamical systems: local and global analysis and chaos. The unifying theme of this course is best captured by the title of our main reference book: "Recursive Methods in Economic Dynamics". We start by covering deterministic and stochastic dynamic optimization using dynamic programming analysis. We then study the properties of the resulting dynamic systems. Finally, we will go over a recursive method for repeated games that has proven useful in contract theory and macroeconomics. We shall stress applications and examples of all these techniques throughout the course.
- Languages:
- English
- Material Type:
- Full Course, Homework and Assignments, Lecture Notes, Syllabi
- Media Format:
- Text/HTML, Downloadable docs
- Conditions of Use:
-
Creative Commons Attribution-Noncommercial-Share Alike 3.0
No restrictions on your remixing, redistributing, or making derivative works.
Give credit to the author, as required.
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derivative works.
Copyrighted materials, available under Fair Use and the TEACH Act for US-based
educators, or other custom arrangements. Go to the resource provider to see
their individual restrictions.
Dynamic Optimization and Economic Applications (Recursive Methods), Spring 2003
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