Economic Dynamics, 2e

Theory and Computation

by Stachurski

ISBN: 9780262372459 | Copyright 2022

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The second edition of a rigorous and example-driven introduction to topics in economic dynamics that emphasizes techniques for modeling dynamic systems.

This text provides an introduction to the modern theory of economic dynamics, with emphasis on mathematical and computational techniques for modeling dynamic systems. Written to be both rigorous and engaging, the book shows how sound understanding of the underlying theory leads to effective algorithms for solving real-world problems. The material makes extensive use of programming examples to illustrate ideas, bringing to life the abstract concepts in the text. Key topics include algorithms and scientific computing, simulation, Markov models, and dynamic programming. Part I introduces fundamentals and part II covers more advanced material. This second edition has been thoroughly updated, drawing on recent research in the field.

The second edition offers a “programming-language agnostic” presentation using pseudocode. A completely rewritten chapter 1 covers conceptual issues concerning Markov chains such as ergodicity and stability, and chapter 2 now focuses on algorithms and techniques for program design and high-performance computing. The coverage of dynamic programming now emphasizes household problems rather than optimal growth. A supplementary website offers solutions to many exercises, code, and other resources.

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Contents (pg. vii)
Preface (pg. xiii)
Aims and Scope (pg. xiii)
Solutions, Code, and Online Resources (pg. xiv)
Acknowledgements (pg. xiv)
Common Symbols (pg. xvii)
Part I: Introduction to Dynamics (pg. 1)
Chapter 1: Introduction (pg. 3)
1.1 Stochastic Dynamics (pg. 4)
1.2 Where to From Here? (pg. 17)
1.3 Commentary (pg. 22)
Chapter 2: Programming (pg. 25)
2.1 Algorithms (pg. 25)
2.2 Program Design (pg. 30)
Chapter 3: Analysis in Metric Space (pg. 39)
3.1 A First Look at Metric Space (pg. 39)
3.2 Further Properties (pg. 48)
3.3 Commentary (pg. 58)
Chapter 4: Introduction to Dynamics (pg. 59)
4.1 Deterministic Dynamical Systems (pg. 59)
4.2 Finite State Markov Chains (pg. 71)
4.3 Stability of Finite State MCs (pg. 84)
4.4 Commentary (pg. 97)
Chapter 5: Further Topics for Finite MCs (pg. 99)
5.1 Optimization (pg. 99)
5.2 MCs and SRSs (pg. 107)
5.3 Commentary (pg. 113)
Chapter 6: Infinite State Space (pg. 115)
6.1 First Steps (pg. 115)
6.2 Optimal Savings, Infinite State (pg. 131)
6.3 Stochastic Speculative Price (pg. 140)
6.4 Commentary (pg. 149)
Part II: Advanced Techniques (pg. 153)
Chapter 7: Integration (pg. 155)
7.1 Measure Theory (pg. 155)
7.2 Definition of the Integral (pg. 167)
7.3 Properties of the Integral (pg. 175)
7.4 Commentary (pg. 183)
Chapter 8: Density Markov Chains (pg. 185)
8.1 Outline (pg. 185)
8.2 Stability (pg. 194)
8.3 Commentary (pg. 208)
Chapter 9: Measure-Theoretic Probability (pg. 209)
9.1 Random Variables (pg. 209)
9.2 General State Markov Chains (pg. 216)
9.3 Commentary (pg. 225)
Chapter 10: Stochastic Dynamic Programming (pg. 227)
10.1 Theory (pg. 227)
10.2 Numerical Methods (pg. 236)
10.3 Commentary (pg. 244)
Chapter 11: Stochastic Dynamics (pg. 247)
11.1 Notions of Convergence (pg. 247)
11.2 Stability: Analytical Methods (pg. 257)
11.3 Stability: Probabilistic Methods (pg. 271)
11.4 Commentary (pg. 293)
Chapter 12: More Stochastic Dynamic Programming (pg. 295)
12.1 Monotonicity and Concavity (pg. 295)
12.2 Unbounded Rewards (pg. 306)
12.3 Commentary (pg. 313)
Part III: Appendixes (pg. 315)
Appendix A: Real Analysis (pg. 317)
A.1 The Nuts and Bolts (pg. 317)
A.2 The Real Numbers (pg. 327)
Appendix B: Chapter Appendixes (pg. 339)
B.1 Appendix to Chapter 3 (pg. 339)
B.2 Appendix to Chapter 4 (pg. 342)
B.3 Appendix to Chapter 6 (pg. 344)
B.4 Appendix to Chapter 8 (pg. 345)
B.5 Appendix to Chapter 10 (pg. 347)
B.6 Appendix to Chapter 11 (pg. 349)
B.7 Appendix to Chapter 12 (pg. 350)
Bibliography (pg. 357)
Index (pg. 369)

John Stachurski

John Stachurski is Professor of Economics at Australian National University and cofounder ofQuantEcon. He is the author of A Primer in Econometric Theory (MIT Press).

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