1997-1998
Llicenciatura en Administraciķ i Direcciķ d'Empreses (3323)
Llicenciatura en Economia (3322)
Ālgebra Linial i Sistemes Dināmics(11863)
Tema 1. The Nature of Dynamic Optimization
- 1.1. Salient Features of Dynamic Optimization Problems.
- 1.2. Variable Endpoints and Transversality Conditions.
- 1.3. Alternative Approaches to Dynamic Optimization.
Tema 2. Some Groundwork for Dynamic Analysis
- 2.1. Continuous Time: Differential Equations.
- 2.2. Discrete Time: Difference Equations.
Tema 3. The Calculus of Variations
- 3.1. The Euler Equation.
- 3.2. Checking Concavity/Convexity.
- 3.3. Methodological Issues of Infinite Horizon.
Economic Applications: Dynamic Optimization of a Monopolist, Trading Off Inflation and Unemployment, The Optimal Investment Path of a Firm, The Ramsey Model and Optimal Social Saving Behavior.
Tema 4. Optimal Control Theory
- 4.1. The Maximum Principle.
- 4.2. The Calculus of Variations and Optimal Control Theory Compared.
- 4.3. Problems with Several State and Control Variables.
- 4.4. Infinite Horizon Problems.
- 4.5. Optimal Control with Constraints.
Economic Applications: The Political Business Cycle, Energy Use and Environmental Quality, Optimal Growth, Exogenous and Endogenous Technological Progress.
Tema 5. Dynamic Programming
- 5.1. Bellman's Equation.
- 5.2. Uncertainty.
Economic Applications: Reformulations of Economic Applications, Job Search, Saving under Uncertainty.
Bibliografia
CHIANG, A. C. Elements of Dynamic Optimization. New York: McGraw-Hill Publishers, 1992.
KAMIEN, M.; SCHWARTZ, N. Dynamic Optimization, the Calculus of Variations and Optimal Control in Economics and Management. 2nd Edition. Amsterdam: North-Holland cop, 1991.