Luiss

RED course: “Introduction to Dynamic Optimization in Economics”

Welcome to the RED course

Introduction to Dynamic Optimization in Economics

 

Teacher: Fausto Gozzi

Time table (18 hours):

–          Wednesday, 1 September, 11.00-13.00 and 15.00-17.00

–          Thursday, 2 September, 9.00-11.00

–          Tuesday, 7 September, 16.00-18.00

–          Wednesday, 8 September, 11.00-13.00

–          Thursday, 9 September, 9.00-11.00

–          Tuesday, 14 September, 16.00-18.00

–          Wednesday, 15 September, 11.00-13.00

–          Thursday, 16 September, 9.00-11.00.

 

Final Exam (written test in the classroom):

December 2021.

 

Prerequisites

All the material taught in the basic course of mathematics in faculty of economics.

In particular students should know (and be able to do the exercises) of my master course “Mathematical Methods for Economics and Finance” in this website:

http://docenti.luiss.it/gozzi/mathematical-methods-for-economics-and-finance-a-y-2020-2021/

 

Slides of course on Linear Algebra, Dynamical Systems, Static Optimization (prerequisites)

1) Linear algebra and linear dynamical systems

SlidesFGMethodsFirstPartFallEC2020.pdf

2) Linear and non linear dynamcial systems

Dispeqdiff2020

3) Calculus of several variables and static optimization

SlidesFGROME2020

 

Content of lectures (FINAL)

ContentofLecturesCourseREDsep2021

References

Notes give by the teacher (which may be updated during the course):

dispoptdinDic2020

New version (01/09/2021)

dispoptdinSet2021

Final Version (22 Sept 2021)

FINALdispoptdinSet2021

 

Exercises to do (please try them before looking at the solutions)

A) Discrete time DP

EXRC1DPfinhor

EXRC2DPinfhor

4SolvedProblemsDP

 

B) Continuous time DP

Exercise of Chapter 3 of the lectures below (more advanced version of the above notes but only for the continuous time case)

lezioni

 

C) Various exercises

Exercises OCP

 

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