Recursive Methods in Economic Dynamics
1st Edition
Published on 10. October 1989
607 pages
978-0-674-73518-7 (ISBN)
Description
This rigorous but brilliantly lucid book presents a self-contained treatment of modern economic dynamics. Stokey, Lucas, and Prescott develop the basic methods of recursive analysis and illustrate the many areas where they can usefully be applied.
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Nancy L. Stokey | Robert E. Lucas | Edward C. Prescott
Recursive Methods in Economic Dynamics
Book
10/1989
Harvard University Press
€108.50
Shipment within 15-20 days
Content
- Intro
- Contents
- Symbols Used
- I. The Recursive Approach
- 1. Introduction
- 2. An Overview
- 2.1: A Deterministic Model of Optimal Growth
- 2.2: A Stochastic Model of Optimal Growth
- 2.3: Competitive Equilibrium Growth
- 2.4: Conclusions and Plans
- II. Deterministic Models
- 3. Mathematical Preliminaries
- 3.1: Metric Spaces and Normed Vector Spaced
- 3.2: The Contraction Mapping Theorem
- 3.3: The Theorem of the Maximum
- 4. Dynamic Programming under Certainty
- 4.1: The Principle of Optimality
- 4.2: Bounded Returns
- 4.3: Constant Returns to Scale
- 4.4: Unbounded Returns
- 4.5: Euler Equations
- 5. Applications of Dynamic Programming under Certainty
- 5.1: The One-Sector Model of Optimal Growth
- 5.2: A "Cake-Eating" Problem
- 5.3: Optimal Growth with Linear Utility
- 5.4: Growth with Technical Progress
- 5.5: A Tree-Cutting Problem
- 5.6: Learning by Doing
- 5.7: Human Capital Accumulation
- 5.8: Growth with Human Capital
- 5.9: Investment with Convex Costs
- 5.10: Investment with Constant Returns
- 5.11: Recursive Preferences
- 5.12: Theory of the Consumer with Recursive Preferences
- 5.13: A Pareto Problem with Recursive Preferences
- 5.14: An (s, S) Inventory Problem
- 5.15: The Inventory Problem in Continuous Time
- 5.16: A Seller with Unknown Demand
- 5.17: A Consumption-Savings Problem
- 6. Deterministic Dynamics
- 6.1: One-Dimensional Examples
- 6.2: Global Stability: Liapounov Functions
- 6.3: Linear Systems and Linear Approximations
- 6.4: Euler Equations
- 6.5: Applications
- III. Stochastic Models
- 7. Measure Theory and Integration
- 7.1: Measurable Spaces
- 7.2: Measures
- 7.3: Measurable Functions
- 7.4: Integration
- 7.5: Product Spaces
- 7.6: The Monotone Class Lemma
- 7.7: Conditional Expectation
- 8. Markov Processes
- 8.1: Transition Functions
- 8.2: Probability Measures on Spaces of Sequences
- 8.3: Iterated Integrals
- 8.4: Transitions Defined by Stochastic Difference Equations
- 9. Stochastic Dynamic Programming
- 9.1: The Principle of Optimality
- 9.2: Bounded Returns
- 9.3: Constant Returns to Scale
- 9.4: Unbounded Returns
- 9.5: Stochastic Euler Equations
- 9.6: Policy Functions and Transition Functions
- 10. Applications of Stochastic Dynamic Programming
- 10.1: The One-Sector Model of Optimal Growth
- 10.2: Optimal Growth with Two Capital Goods
- 10.3: Optimal Growth with Many Goods
- 10.4: Industry Investment under Uncertainty
- 10.5: Production and Inventory Accumulation
- 10.6: Asset Prices in an Exchange Economy
- 10.7: A Model of Search Unemployment
- 10.8: The Dynamics of the Search Model
- 10.9: Variations on the Search Model
- 10.10: A Model of Job Matching
- 10.11: Job Matching and Unemployment
- 11. Strong Convergence of Markov Processes
- 11.1: Markov Chains
- 11.2: Convergence Concepts for Measures
- 11.3: Characterizations of Stong Convergence
- 11.4: Sufficient Conditions
- 12. Weak Convergence of Markov Processes
- 12.1: Characterizations of Weak Convergence
- 12.2: Distribution Functions
- 12.3: Weak Convergence of Distribution Functions
- 12.4: Monotone Markov Processes
- 12.5: Dependence of the Invariant Measures on a Parameter
- 12.6: A Loose End
- 13. Applications of Convergence Result for Markov Processes
- 13.1: A Discrete-Space (s, S) Inventory Problem
- 13.2: A Continuous-State (s, S) Process
- 13.3: The One-Sector Model of Optimal Growth
- 13.4: Industry Investment under Uncertainty
- 13.5: Equilibrium in a Pure Currency Economy
- 13.6: A Pure Currency Economy with Linear Utility
- 13.7: A Pure Credit Economy with Linear Utility
- 13.8: An Equilibrium Search Economy
- 14. Laws of Large Numbers
- 14.1: Definitions and Preliminaries
- 14.2: A Strong Law for Markov Processes
- IV. Competitive Equilibrium
- 15. Pareto Optima and Competitive Equilibria
- 15.1: Dual Spaces
- 15.2: The First and Second Welfare Theorems
- 15.3: Issues in the Choice of a Commodity Space
- 15.4: Inner Product Representations of Prices
- 16. Applications of Equilibrium Theory
- 16.1: A One-Sector Model of Growth under Certainty
- 16.2: A Many-Sector Model of Stochastic Growth
- 16.3: An Ecomony with Sustained Growth
- 16.4: Industry Investment under Uncertainty
- 16.5: Truncation: A Generalization
- 16.6: A Peculiar Example
- 16.7: An Economy with Many Consumers
- 17. Fixed-Point Arguments
- 17.1: An Overlapping-Generations Model
- 17.2: An Application of the Contraction Mapping Theorem
- 17.3: The Brouwer Fixed-Point Theorem
- 17.4: The Schauder Fixed-Point Theorem
- 17.5: Fixed Points of Monotone Operators
- 17.6: Partially Observed Shocks
- 18. Equilibria in Systems with Distortions
- 18.1: An Indrect Approach
- 18.2: A Local Approach Based on First-Order Conditions
- 18.3: A Global Approach Based on First-Order Conditions
- References
- Index of Theorems
- General Index
