Control Theory Methods in Economics

AvJati Sengupta,Phillip Fanchon

Inbunden, Engelska, 1997

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Beskrivning

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, it discusses several recent developments in applied control theory. Aspects of econometrics estimation receive special emphasis, because of their importance to empirical applications in economics. The text is intended as a 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.

Produktinformation

Utgivningsdatum:1997-01-31
Mått:155 x 235 x 16 mm
Vikt:558 g
Format:Inbunden
Språk:Engelska
Antal sidor:258
Upplaga:1997
Förlag:Kluwer Academic Publishers
ISBN:9780792398455

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Innehållsförteckning

1 Introduction to Control Theory.- 1.1 Transition from the calculus of variations to optimal control.- 1.2 Transition from theory to practice.- References.- 2 Continuous Time Models.- 2.0 Overview of control problems.- 2.1 Observability and controllability.- 2.2 Stability analysis.- 2.3 The maximum principle.- 2.4 Constraints.- 2.5 Example 1; A limit pricing model..- 2.6 Example 2; reaching a steady state cycle.- References.- 3 Discrete Time Models.- 3.0 Introduction.- 3.1 General deterministic and discrete control problems.- 3.2 The linear quadratic problem.- 3.3 Analytic solution of the Riccati equation.- 3.4 Equivalent dynamic equations.- 3.5 Discrete control of nonlinear systems.- 3.6 Observability and observers.- 3.7 Economic examples.- References.- 4 Stochastic Control Theory.- 4.0 Introduction.- 4.1 Stochastic processes under control.- 4.2. Economic applications.- 4.3 Kalman filtering methods.- 4.4 Concluding remarks.- References.- 5 Economic Implications of Stochastic Control.- 5.0 Introduction.- 5.1 Time inconsistency problems.- 5.2 Short-run vs. long-run optimality.- 5.3 Model of adjustment costs with rational expectations.- 5.4 An application to new growth theory: dynamic adjustments with learning by doing.- 5.5 Concluding remarks..- References.- 6 Variable Structure Systems.- 6.0 Introduction.- 6.1 The variable structure control formulation.- 6.2 A VSC approximation of an optimal control law.- 6.3 Example; The expectations-augmented Phillips relation.- 6.4 Concluding remarks.- References.- 7 Risk Sensitivity, Adjustment of Control and Estimation.- 7.0 Introduction.- 7.1 Learning process in differential games.- 7.2 Adjustment costs in portfolio models.- 7.3 Econometric estimation of controlled systems.- 7.4 Estimating transversality conditions.- 7.5 Concluding remarks.- References.