Stochastic Differential Equations and Stochastic Optimal Control for Economists: Learning by Exercising
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Robert M. Solow, 1956. "A Contribution to the Theory of Economic Growth," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 70(1), pages 65-94.
- Thomas Aronsson & Karl-Gustaf Löfgren & Kenneth Backlund, 2004. "Welfare Measurement in Imperfect Markets," Books, Edward Elgar Publishing, number 2494, March.
- Martin L. Weitzman, 1976.
"On the Welfare Significance of National Product in a Dynamic Economy,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 156-162.
- M. L. Weitzman, 1974. "On the Welfare Significance of National Product in Dynamic Economy," Working papers 125, Massachusetts Institute of Technology (MIT), Department of Economics.
- Robert C. Merton, 1975.
"An Asymptotic Theory of Growth Under Uncertainty,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 42(3), pages 375-393.
- Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Li, Chuan-Zhong & Löfgren, Karl-Gustaf, 2009. "Genuine Saving under Stochastic Growth," Umeå Economic Studies 779, Umeå University, Department of Economics.
- Chuan-Zhong Li & Karl-Gustaf Löfgren, 2012. "Genuine saving under stochastic growth," Letters in Spatial and Resource Sciences, Springer, vol. 5(3), pages 167-174, October.
- Cairns, Robert D. & Del Campo, Stellio & Martinet, Vincent, 2019.
"Sustainability of an economy relying on two reproducible assets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 145-160.
- Robert D. Cairns & Stellio Del Campo & Vincent Martinet, 2016. "Sustainability of an economy relying on two reproducible assets," Working Papers 2016/03, INRA, Economie Publique.
- Robert D. Cairns & Stellio Del Campo & Vincent Martinet, 2017. "Sustainability of an economy relying on two reproducible assets," EconomiX Working Papers 2017-4, University of Paris Nanterre, EconomiX.
- Robert D. Cairns & Stellio del Campo & Vincent Martinet, 2019. "Sustainability of an economy relying on two reproducible assets [Soutenabilité d’une économie reposant sur deux actifs renouvelables]," Post-Print hal-02623141, HAL.
- Robert D. Cairns & Stellio Del Campo & Vincent Martinet, 2017. "Sustainability of an Economy Relying on Two Reproducible Assets," CESifo Working Paper Series 6314, CESifo.
- Robert D. Cairns & Stellio Del Campo & Vincent Martinet, 2017. "Sustainability of an economy relying on two reproducible assets," Working Papers 2017.03, FAERE - French Association of Environmental and Resource Economists.
- Robert D. Cairns & Stellio del Campo & Vincent Martinet, 2017. "Sustainability of an economy relying on two reproducible assets," Working Papers hal-04141669, HAL.
- Edward B. Barbier, 2017. "Natural Capital and Wealth in the 21st Century," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(3), pages 391-405, June.
- Dai, Darong, 2012. "A Robust Turnpike Deduced by Economic Maturity," MPRA Paper 48818, University Library of Munich, Germany.
- Charles R. Hulten & Paul Schreyer, 2010. "GDP, Technical Change, and the Measurement of Net Income: the Weitzman Model Revisited," NBER Working Papers 16010, National Bureau of Economic Research, Inc.
- Darong Dai, 2015. "Robust Turnpikes Deduced by the Minimum-Time Needed toward Economic Maturity," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 9(1), pages 049-073, October.
- Charles R. Hulten, 2000. "Total Factor Productivity: A Short Biography," NBER Working Papers 7471, National Bureau of Economic Research, Inc.
- Chuan‐Zhong Li & Karl‐Gustaf Löfgren, 2008. "Evaluating Projects in a Dynamic Economy: Some New Envelope Results," German Economic Review, Verein für Socialpolitik, vol. 9(1), pages 1-16, February.
- Tsur, Yacov & Zemel, Amos, 2006.
"Welfare measurement under threats of environmental catastrophes,"
Journal of Environmental Economics and Management, Elsevier, vol. 52(1), pages 421-429, July.
- Tsur, Yacov & Zemel, Amos, 2005. "Welfare Measurement Under Threats Of Environmental Catastrophes," Discussion Papers 14987, Hebrew University of Jerusalem, Department of Agricultural Economics and Management.
- Geir B. Asheim & Rintaro Yamaguchi, 2023. "Comprehensive National Accounting for Carbon Emissions," CESifo Working Paper Series 10562, CESifo.
- Lee H. Endress & James A. Roumasset & Christopher A. Wada, 2020.
"Do Natural Disasters Make Sustainable Growth Impossible?,"
Economics of Disasters and Climate Change, Springer, vol. 4(2), pages 319-345, July.
- Lee Endress & James Roumasset & Christopher Wada, 2016. "Do Natural Disasters Make Sustainable Growth Impossible?," Working Papers 2016-12, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Lee H. Endress & James A. Roumasset & Christopher A. Wada, 2019. "Do natural disasters make sustainable growth impossible?," Working Papers 2019-9, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Aronsson, Thomas & Cialani, Catia & Löfgren, Karl-Gustaf, 2012. "Genuine saving and the social cost of taxation," Journal of Public Economics, Elsevier, vol. 96(1), pages 211-217.
- Mark Staley, 2010.
"Innovation, diffusion and the distribution of income in a Malthusian economy,"
Journal of Evolutionary Economics, Springer, vol. 20(5), pages 689-714, October.
- Staley, Mark, 2008. "Innovation, Diffusion and the Distribution of Income in a Malthusian Economy," MPRA Paper 9849, University Library of Munich, Germany.
- Liao, Zhong-Wei & Shao, Jinghai, 2024. "Stability and mean growth rate of stochastic Solow model driven by jump–diffusion process," Journal of Mathematical Economics, Elsevier, vol. 111(C).
- Clemens Christiane, 2009.
"Stochastic Growth and Factor Income Risk,"
German Economic Review, De Gruyter, vol. 10(4), pages 422-447, December.
- Christiane Clemens, 2009. "Stochastic Growth and Factor Income Risk," German Economic Review, Verein für Socialpolitik, vol. 10(4), pages 422-447, November.
- Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2023.
"Revisiting the Great Ratios Hypothesis,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(5), pages 1023-1047, October.
- Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2022. "Revisiting the Great Ratios Hypothesis," CESifo Working Paper Series 9625, CESifo.
- Chudik, A. & Pesaran, M. H. & Smith, R. P., 2022. "Revisiting the Great Ratios Hypothesis," Cambridge Working Papers in Economics 2215, Faculty of Economics, University of Cambridge.
- Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2022. "Revisiting the Great Ratios Hypothesis," BCAM Working Papers 2203, Birkbeck Centre for Applied Macroeconomics.
- Alexander Chudik & M. Hashem Pesaran & Ron P. Smith, 2022. "Revisiting the Great Ratios Hypothesis," Globalization Institute Working Papers 415, Federal Reserve Bank of Dallas, revised 14 Apr 2023.
- Darong Dai, 2014. "A Golden Formula in Neoclassical-Growth Models with Brownian-Motion Shocks," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(2), pages 211-228, May.
- Li, Chuan-Zhong & Lofgren, Karl-Gustaf, 2006.
"Comprehensive NNP, social welfare, and the rate of return,"
Economics Letters, Elsevier, vol. 90(2), pages 254-259, February.
- Li, Chuan-Zhong & Löfgren, Karl-Gustaf, 2004. "Comprehensive NNP, Social Welfare, and the Rate of Return," Umeå Economic Studies 640, Umeå University, Department of Economics, revised 04 Dec 2006.
- Aronsson, Thomas & Löfgren, Karl-Gustaf, 2006. "Welfare Equivalent NNP and Habit Formation," Umeå Economic Studies 680, Umeå University, Department of Economics.
More about this item
Keywords
Stochastic differential equations; stochastic optimal control and finance;JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2017-04-30 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:umnees:0949. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: David Skog (email available below). General contact details of provider: https://edirc.repec.org/data/inumuse.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.