Dynamic programming for economists. From basic growth models to computational methods - Rilegato

Femminis, Gianluca

Rilegato

ISBN 13: 9791221118766

Casa editrice: Giappichelli, 2026

Riassunto

Dynamic programming, Bellman equations and numerical methods for growth models

This book offers a step-by-step, hands-on introduction to dynamic programming for economists, combining analytical derivations with paper-and-pencil numerical techniques to solve deterministic and stochastic optimization problems in macroeconomics.

• Utility maximization in a dynamic deterministic setting: finite-lifetime consumption-growth problem, Euler equation, infinite-horizon problem and optimal path.
• The Dynamic Programming formulation: Bellman problem, existence and uniqueness of the solution, Envelope Theorem and Benveniste-Scheinkman formula.
• Guess and verify: logarithmic preferences with Cobb-Douglas production, quadratic preferences with linear constraints and applications to the growth model.
• Function iteration: value function iteration, smart initial guess, policy function iteration, endogenous grid methods and the curse of dimensionality.
• Collocation and perturbation methods: standard and Chebyshev polynomials, local approximation, perturbation applied to the neoclassical growth model.
• Lagrangian approach to stochastic growth and Bellman formulation with closed-form solutions.
• Solving the stochastic growth model: AR(1) disturbances, two-dimensional Chebyshev collocation, perturbation and the Parameterized Expectations Approach.

A practical resource for graduate students in economics, PhD candidates and researchers working on macroeconomics, computational economics and quantitative methods for growth and business cycle analysis.

Dettagli dell'edizione

• Editore: Giappichelli
• Data di pubblicazione: 2026
• Lingua: Inglese
• ISBN 13: 9791221118766
• Rilegatura: Copertina rigida
• Numero di pagine: 272
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile