Stochastic Optimization and Economic Models
This book presents the main applied aspects of stochas tic optimization in economic models. Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics
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THEORY AND DECISION LIBRARY General Editors: W. Leinfellner and G. Eberlein Series A: Philosophy and Methodology of the Social Sciences Editors: W. Leinfellner (University of Nebraska) G. Eberlein (University of Technology, Munich) Series B: Mathematical and Statistical Methods Editor: H. Skala (University of Paderborn) Series C: Game Theory and Decision Making Editor: S. Tijs (University of Nijmegen) Series D: Organization and Systems Theory Editor: W. Janko (University of Karlsruhe)
SERIES B: MATHEMATICAL AND STATISTICAL METHODS Editor: H. Skala (Paderborn)
Editorial Board J. Aczel (Waterloo), G. Bamberg (Augsburg), W. Eichhorn (Karlsruhe), P. Fishburn (New Jersey), D. Fraser (Toronto), B. Fuchssteiner (Paderborn), W. Janko (Karlsruhe), P. de Jong (Vancouver), M. Machina (San Diego), A. Rapoport (Toronto), M. Richter (Aachen), D. Sprott (Waterloo), P. Suppes (Stanford), H. Theil (Florida), E. Trillas (Madrid), L. Zadeh (Berkeley).
Scope The series focuses on the application of methods and ideas of logic, mathematics and statistics to the social sciences. In particular, formal treatment of social phenomena, the analysis of decision making, information theory and problems of inference will be central themes of this part of the library. Besides theoretical results, empirical investigations and the testing of theoretical models of real world problems will be subjects of interest. In addition to emphasizing interdisciplinary communication, the series will seek to support the rapid dissemination of recent results.
JATI K. SENGUPTA Department of Economics, University of California, Santa Barbara, US. A.
STOCHASTIC OPTIMIZATION AND ECONOMIC MODELS
SPRINGER-SCIENCE+BUSINESS MEDIA, B.V.
Ubrary of Congress Cataloging in Publication Data Sengupta, Jatikumar. Stochastic optimization and economic models. (Theory and decision library. Series B, Mathematical and statistical methods) Includes index. 1. Mathematical optimization. 2. Stochastic processes. 3. Decisionmaking. 4. Uncertainty. S. Econometric models. 6. Portfolio management. I. Title. II. Series.
HB143.7.S46
1986
330' .01 '5192
86-13880
ISBN 978-90-481-8426-2 ISBN 978-94-017-3085-3 (eBook) DOI 10.1007/978-94-017-3085-3
2-0692-200 ts
All Rights Reserved © 1986 by Springer Science+Business
Media Dordrecht
Originally published by D. Reidel Publishing Company, Dordrecht, Holland in 1986 No part of the material protected by this copyright notice may be reproduced or utilized in any form or by any means, electronic or mechanical including photocopying, recording or by any information storage and retrieval system, without written permission from the copyright owner
To my mother with devotion and love
Contents Preface I.
Econometric Models and Optimal Economic Policy Problems of Specification Robustness Issues
II.
III.
IV •
v.
ix 1 4
6
Stochastic Processes in Economic Models
11
Introduction Commonly Used Stochastic Processes Illustrative Applications
11 12
Recent Economic Models in Applied Optimal Control
25
53
Introduction Conjectural Equi
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