Main themes: This course has four main sections. The first section concerns dynamic optimization in continuous time and it is closely related to growth theory. In this context, systems of differential equations, their stability and solution techniques, will be discussed in class. The second section concerns discrete time models (both deterministic and stochastic) and is related to the theory of real business cycles. In the context of stochastic models notions of stability in linearized systems of difference equations with forward looking variables are introduced. The third section is devoted to dynamic programming and in particular to solving dynamic problems in economics with the Bellman equation. Finally, the last part of the course is devoted to simple search theoretic models of the labor market in discrete and continuous time.
Aims: The aim of this course is first to familiarize the students with the tools of dynamic optimization in economics and the methodologies needed to solve dynamic problems, and second to present applications of these tools and methodologies. Each of the topics listed above will be accompanied with an introduction to suitable numerical techniques. In particular numerical algorithms will be employed to solve systems of deterministic differential equations, linear systems of stochastic difference equations. Algorithms to solve Bellman equations will also be discussed extensively.
- Professor: Oikonomou Rigas