The Art of Smooth Pasting

Dixit, A.

Routledge（2001/12発売）

• 製本 Hardcover:ハードカバー版／ページ数 88 p.
• 言語 ENG
• 商品コード 9780415269377
• DDC分類 330.0151

Full Description

This book aims to widen the understanding of stochastic dynamic choice and equilibrium models. It offers a simplified and heuristic exposition of the theory of Brownian motion and its control or regulation, rendering such methods more accessible to economists who do not require a detailed, mathematical treatment of the subject.
The main mathematical ideas are presented in a context which with which economists will be familiar. Using a binomial approach to Brownian motion, the mathematics is reduced to simple algebra, progressing to some equally simple limits. The starting point of the calculus of Brownian motion - 'Ito's Lemma' - emerges by analogy with the economics of risk-aversion. Conditions for the optimal regulation of Brownian motion, including the important, but often mysterious, 'smooth pasting' condition, are derived in a similar way. Each theoretical derivation is illustrated by developing a significant economic application, drawn mainly from recent research in macroeconomics and international economics.

Contents

part The Art of Smooth Pasting, AVINASH DIXIT; Chapter 1 Brownian Motion; Chapter 2 Discounted Present Values; Chapter 3 Barriers; Chapter 4 Optimal Control and Regulation; Chapter 5 Generalizations; Chapter 6 Some Characterization of Optimal Paths;