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Applied Intertemporal Optimization

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Author Info

  • Klaus Walde

    () (University of Glasgow)

Abstract

This textbook provides all tools required to easily solve intertemporal optimization problems in economics, finance, business administration and related disciplines. The focus of this textbook is on 'learning through examples' and gives a very quick access to all methods required by an undergraduate student, a PhD student and an experienced researcher who wants to explore new fields or confirm existing knowledge. Given that discrete and continuous time problems are given equal attention, insights gained in one area can be used for learning solutions methods more quickly in other contexts. This step-by-step approach is especially useful for the transition from deterministic to stochastic worlds. When it comes to stochastic methods in continuous time, the applied focus of this book is the most useful. Formulating and solving problems under continuous time uncertainty has never been explained in such a non-technical and highly accessible way.

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File URL: http://www.waelde.com/pdf/AIO.pdf
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Bibliographic Info

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This book is provided by Business School - Economics, University of Glasgow in its series Books with number econ1 and published in 2008.

Handle: RePEc:gla:glabks:econ1

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Postal: Adam Smith Building, Glasgow G12 8RT
Phone: 0141 330 4618
Fax: 0141 330 4940
Web page: http://www.gla.ac.uk/schools/business/research/
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For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeanette Findlay).

Related research

Keywords: Intertemporal optimization; maximization; discrete time; continuous time; certainty; uncertainty; inserting; Lagrange; Hamiltonian; Dynamic Programming; Bellman equation; Ito's Lemma; Brownian motion; Poisson process; natural volatility;

References

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  1. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Walde, Klaus, 2002. "The economic determinants of technology shocks in a real business cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 27(1), pages 1-28, November.
  3. Danyang Xie, 2002. "Divergence in Economic Performance: Transitional Dynamics with Multiple Equilibria," GE, Growth, Math methods 0210002, EconWPA.
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Citations

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Cited by:
  1. Zhang, Yuzhe, 2009. "Dynamic contracting with persistent shocks," Journal of Economic Theory, Elsevier, vol. 144(2), pages 635-675, March.

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