Economic Dynamics Discrete Time(miaojianjun BU 2013).pdf

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1、EconomicDynamics:DiscreteTimeMiao,JianjunJune10,2013iiContentsPrefacexiIDynamicalSystems11DeterministicDifferenceEquations51.1ScalarFirst-OrderLinearEquations..............51.2LagOperators..........................111.3ScalarSecond-OrderLinearEquations........

2、.....121.4First-OrderLinearSystems...................161.4.1NonsingularSystem...................181.4.2SingularSystem.....................251.5PhaseDiagrams..........................291.6NonlinearSystems........................311.7NumericalSolutionsUsingDyna

3、re...............351.8Exercises.............................442StochasticDifferenceEquations472.1First-OrderLinearSystems...................482.2ScalarLinearRationalExpectationsModels..........502.2.1LagOperators......................512.2.2TheMethodofUndeterm

4、inedCoefficients.......542.3MultivariateLinearRationalExpectationsModels......552.3.1TheBlanchardandKahnMethod...........562.3.2TheKleinMethod....................582.3.3TheSimsMethod....................612.4NonlinearRationalExpectationsModels............682.5Nu

5、mericalSolutionsUsingDynare...............732.6Exercises.............................87iiiivCONTENTS3MarkovProcesses893.1MarkovChains..........................903.1.1ClassificationofStates..................943.1.2StationaryDistribution.................993.1.3C

6、ountable-StateMarkovChains............1023.2GeneralMarkovProcesses....................1053.3Convergence............................1103.3.1StrongConvergence...................1113.3.2WeakConvergence....................1153.4Exercises..........................

7、...1204ErgodicTheoryandStationaryProcesses1234.1ErgodicTheorem.........................1244.2ApplicationtoStationaryProcesses..............1284.3ApplicationtoStationaryMarkovProcesses..........1344.4Exercises.............................138IIDynamicOptimizati

8、on1395MarkovDecisionProcessModel1435.1ModelSetup...........................1435.2Examples.............................1525.2.1DiscreteChoice......................1525.2.2OptimalStopping..