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Control Theory Methods in Economics - Jati K. Sengupta

Control Theory Methods in Economics

Hardcover Published: 1st April 2002
ISBN: 9780792398455
Number Of Pages: 258

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This volume provides an integrated, modern treatment of control theory in economics. In addition to synthesizing the different phases of control theory methods, including feedback, stochastic and adaptive control, Control Theory Methods in Economics discusses several recent developments in applied control theory. Aspects of econometrics estimation receive special emphasis, because of their importance to empirical applications in economics. Control Theory Methods in Economics will be an important general reference for researchers and graduate students of applied control theory methods, but also has extensive professional applications in dynamic portfolio models in finance, neoclassical models of optimal growth, stabilizing control policies in variable structure models and problems of forecasting and estimation in dynamic models of rational expectations.

Prefacep. ix
Introduction to Control Theory
Transition from the calculus of variations to optimal controlp. 1
Transition from theory to practicep. 3
Continuous Time Models
Overview of control problemsp. 9
Observability and controllabilityp. 10
Stability analysisp. 15
The maximum principlep. 32
Constraintsp. 39
Example 1; A limit pricing modelp. 41
Example 2; reaching a steady state cyclep. 54
Discrete Time Models
Introductionp. 63
General deterministic and discrete control problemsp. 63
The linear quadratic problemp. 68
Analytic solution of the Riccati equationp. 80
Equivalent dynamic equationsp. 83
Discrete control of nonlinear systemsp. 87
Observability and observersp. 89
Economic examplesp. 89
Stochastic Control Theory
Introductionp. 97
Stochastic processes under controlp. 97
Economic applicationsp. 102
Kalman filtering methodsp. 117
Concluding remarksp. 143
Economic Implications of Stochastic Control
Introductionp. 147
Time inconsistency problemsp. 147
Short-run vs. long-run optimalityp. 152
Model of adjustment costs with rational expectationsp. 158
An application to new growth theory: dynamic adjustments with learning by doingp. 160
Concluding remarksp. 175
Variable Structure Systems
Introductionp. 181
The variable structure control formulationp. 181
A VSC approximation of an optimal control lawp. 191
Example; The expectations-augmented Phillips relationp. 193
Concluding remarksp. 207
Risk Sensitivity, Adjustment of Control and Estimation
Introductionp. 211
Learning process in differential gamesp. 211
Adjustment costs in portfolio modelsp. 213
Econometric estimation of controlled systemsp. 232
Estimating transversality conditionsp. 239
Concluding remarksp. 247
Appendixp. 249
Indexp. 253
Table of Contents provided by Syndetics. All Rights Reserved.

ISBN: 9780792398455
ISBN-10: 0792398459
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 258
Published: 1st April 2002
Country of Publication: NL
Dimensions (cm): 23.39 x 15.6  x 1.6
Weight (kg): 0.56