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Stochastic Optimization in Continuous Time
First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the book is that mathematical concepts are introduced in a language and terminology familiar to graduate students of economics. The standard topics of many mathematics, economics and finance books are illustrated with real examples documented in the economic literature. Moreover, the book emphasises the dos and don'ts of stochastic calculus, cautioning the reader that certain results and intuitions cherished by many economists do not extend to stochastic models. A special chapter (Chapter 5) is devoted to exploring various methods of finding a closed-form representation of the value function of a stochastic control problem, which is essential for ascertaining the optimal policy functions. The book also includes many practice exercises for the reader. Notes and suggested readings are provided at the end of each chapter for more references and possible extensions.
Economic Uncertainty, Instabilities And Asset Bubbles: Selected Essays
The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality ...
Conservation Laws and Symmetry: Applications to Economics and Finance
Modem geometric methods combine the intuitiveness of spatial visualization with the rigor of analytical derivation. Classical analysis is shown to provide a foundation for the study of geometry while geometrical ideas lead to analytical concepts of intrinsic beauty. Arching over many subdisciplines of mathematics and branching out in applications to every quantitative science, these methods are, notes the Russian mathematician A.T. Fomenko, in tune with the Renais sance traditions. Economists and finance theorists are already familiar with some aspects of this synthetic tradition. Bifurcation and catastrophe theo ries have been used to analyze the instability of economic models. Differential...
Ibss: Economics: 1999
IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences
A Treatise on the Family, Enlarged Edition
Gary Becker sees the family as a kind of little factory - a multiperson unit producing meals, health, skills, children and self-esteem from market goods and the time, skills, and knowledge of its members. Gary Becker won the 1992 Nobel Prize in Economics.
Collected Papers on Monetary Theory
Robert Lucas is one of the outstanding monetary theorists of the past hundred years. Along with Knut Wicksell, Irving Fisher, John Maynard Keynes, James Tobin, and Milton Friedman (his teacher), Lucas revolutionized our understanding of how money interacts with the real economy of production, consumption, and exchange. Lucas’s contributions are both methodological and substantive. Methodologically, he developed dynamic, stochastic, general equilibrium models to analyze economic decision-makers operating through time in a complex, probabilistic environment. Substantively, he incorporated the quantity theory of money into these models and derived its implications for money growth, inflation,...
Taxation in the Global Economy
The increasing globalization of economic activity is bringing an awareness of the international consequences of tax policy. The move toward the common European market in 1992 raises the important question of how inefficiencies in the various tax systems—such as self-defeating tax competition among member nations—will be addressed. As barriers to trade and investment tumble, cross-national differences in tax structures may loom larger and create incentives for relocations of capital and labor; and efficient and equitable income tax systems are becoming more difficult to administer and enforce, particularly because of the growing importance of multinational enterprises. What will be the ro...
Growth Theory
This major three volume work provides a comprehensive and authoritative selection of the most important articles and papers on growth theory. Volume I focuses on theories that attempt to explain the stylized facts of growth. Volume II includes the most important articles on normative models of the growth process. Volume III integrates the positive analysis found in the first volume with the welfare approach found in the second volume. Taken together, these volume depict the development of growth models from the early aggregative theory without explicitly optimizing agents to the current practice of formulating growth models with an explicit microeconomic foundation for consumption and invest...
Proceedings of the American Mathematical Society
Contains the material formerly published in even-numbered issues of the Bulletin of the American Mathematical Society.
