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Optimal Control, Expectations and Uncertainty

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Hardcover | 18 September 1989

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Hardcover
260 Pages

Dimensions(cm)
22.86 x 15.24 x 1.91

Hardcover

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The rational expectations revolution and other developments in economics (notably game theory) have fundamentally altered the application of optimal control theory to economic forecasting and planning. In particular, they have shown that economic systems cannot be modelled simplistically on physical systems. However, as the authors of this volume show, these developments have greatly enhanced our understanding of how an economy functions, and now make it possible for optimal control theory to be applied much more effectively to economic modelling and planning. This book is divided into two parts. The first presents the orthodox framework but extends it to allow for multiplicative uncertainty, risk and non-linearities in the econometric model. The second part looks explicitly at the question of expectations. It provides methods by which forward-looking expectations can be treated jointly with the determination of economic policy. It also examines game-theoretic considerations - where, for instance, policy makers may have incentive to renege on their commitments.

Industry Reviews

"...a nicely written book that covers a wealth of optimization tools originating from optimal and stochastic control and game theory, in a context of policy making in economics...a good introduction to the topic for those who would want to pursue research in dynamic decision making under uncertainty." Tamer Ba^D,sar, Mathematical Reviews

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Non-Fiction Economics Economic Forecasting Macroeconomics

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Paperback

Published: 14th January 2010

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Preface
Introduction
The theory of economic policy and the linear model
Optimal-policy design
Uncertainty and risk
Risk aversion, priorities and achievements
Non-linear optimal control
The linear rational-expectations model
Policy design for rational-expectations models
Non-cooperative, full-information dynamic games
Incomplete information, bargaining and social optima
Notes
References
Index
Table of Contents provided by Publisher. All Rights Reserved.

Optimal Control, Expectations and Uncertainty

At a Glance

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

You Can Find This Book In

Other Editions and Formats

Paperback

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