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Applied Intertemporal Optimization

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Author Info
Klaus Walde () (University of Glasgow)

Additional information is available for the following registered author(s):

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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Publisher Info
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
This book is provided by Department of Economics, University of Glasgow in its series Books with number econ1 and published in 2008.

Handle: RePEc:gla:glabks:econ1

Contact details of provider:
Postal: Adam Smith Building, University of Glasgow, Glasgow G12 8RT
Phone: 0141 330 4618
Fax: 0141 330 4940
Web page: http://www.gla.ac.uk/departments/economics/
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For 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 listed on IDEAS
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  1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December. [Downloadable!] (restricted)
    Other versions:
  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. [Downloadable!] (restricted)
  3. Xie Danyang, 1994. "Divergence in Economic Performance: Transitional Dynamics with Multiple Equilibria," Journal of Economic Theory, Elsevier, vol. 63(1), pages 97-112, June. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-12-2.


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