Stochastic Dynamic Programming and Applications Daron Acemoglu 经济增长导论课件.pdf

Advanced Economic Growth: Lecture 21: Stochastic Dynamic Programming and Applications Daron Acemoglu MIT November 19, 2007 Daron Acemoglu (MIT) Advanced Growth Lecture 21 November 19, 2007 1 / 79 Stochastic Growth Stochastic growth models: useful for two related reasons: 1 Range of problems involve either aggregate uncertainty or individual level uncertainty interacting with investment and growth process. 2 Wide range of applications in macroeconomics and in other areas of dynamic economic analysis. Dynamic optimization under uncertainty is considerably harder. Continuous-time stochastic optimization methods are very powerful, but not used widely in macroeconomics Focus on discrete-time stochastic models. Daron Acemoglu (MIT) Advanced Growth Lecture 21 November 19, 2007 2 / 79 Stochastic Dynamic Programming I Introduction to basic stochastic dynamic programming. To avoid measure theory: focus on economies in which stochastic variables take Önitely many values. Enables to use Markov chains, instead of general Markov processes, to represent uncertainty. Then indicate how the results can be generalized to stochastic variables represented by continuous, or mixture of continuous and discrete, random variables. Daron Acemoglu (MIT) Advanced Growth Lecture 21 November 19, 2007 3 / 79 Dynamic Programming with Expectations I I Introduce stochastic (random) variable z t 2 Z z , ..., z . ( ) f 1 N g Note Z is Önite and thus compact. Let instantaneous payo§ at time t be U(x t ,x t + 1 , z t ),