## Stochastic intertemporal optimization: Long-term debt continuous time

*Jerome L. Stein*

### in Stochastic Optimal Control, International Finance, and Debt Crises

- Published in print:
- 2006
- Published Online:
- May 2006
- ISBN:
- 9780199280575
- eISBN:
- 9780191603501
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199280576.003.0003
- Subject:
- Economics and Finance, Financial Economics

This chapter answers the following technical questions: In a stochastic environment, where the return on capital and the interest rate are stochastic, what is an optimal (1) long-term debt, (2) ... More

## TREE DECOMPOSITIONS OF GRAPHS

*Rolf Niedermeier*

### in Invitation to Fixed-Parameter Algorithms

- Published in print:
- 2006
- Published Online:
- September 2007
- ISBN:
- 9780198566076
- eISBN:
- 9780191713910
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198566076.003.0010
- Subject:
- Mathematics, Combinatorics / Graph Theory / Discrete Mathematics

This chapter provides an introduction to tree decomposition and treewidth, important concepts from modern graph theory. Treewidth is one of the best studied and most significant structural ... More

## United States current account deficits: A stochastic optimal control analysis 1

*Jerome L. Stein*

### in Stochastic Optimal Control, International Finance, and Debt Crises

- Published in print:
- 2006
- Published Online:
- May 2006
- ISBN:
- 9780199280575
- eISBN:
- 9780191603501
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199280576.003.0009
- Subject:
- Economics and Finance, Financial Economics

For nearly a quarter of a century, the US has persistently run significant current account deficits that transformed it from the world’s largest net creditor to its largest debtor. The stochastic ... More

## Finite‐Difference Methods for Continuous‐Time Dynamic Programming

*Graham V. Candler*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0008
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Introduces some of the methods and underlying ideas behind computational fluid dynamics—in particular, the use is discussed of finite‐difference methods for the simulation of dynamic economies. A ... More

## Optimal Resource Allocations

*Lars Peter Hansen and Thomas J. Sargent*

### in Recursive Models of Dynamic Linear Economies

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691042770
- eISBN:
- 9781400848188
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691042770.003.0005
- Subject:
- Economics and Finance, History of Economic Thought

This chapter describes a planning problem that generates competitive equilibrium allocations and compares two methods for solving it. The first method uses state- and date-contingent Lagrange ... More

## Probabilistic ancestral sequences based on the Markovian model of evolution: algorithms and applications

*Gina M. Cannarozzi, Adrian Schneider, and Gaston H. Gonnet*

### in Ancestral Sequence Reconstruction

- Published in print:
- 2007
- Published Online:
- September 2008
- ISBN:
- 9780199299188
- eISBN:
- 9780191714979
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199299188.003.0005
- Subject:
- Biology, Evolutionary Biology / Genetics

A probabilistic sequence (PS) is a sequence in which each position instead of having a single character (amino acid, nucleotide, or codon), has a vector describing the probability of each symbol ... More

## Dynamic Optimization in Discrete Time

*GREGORY C. CHOW*

### in Dynamic Economics: Optimization by the Lagrange Method

- Published in print:
- 1997
- Published Online:
- October 2011
- ISBN:
- 9780195101928
- eISBN:
- 9780199855032
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195101928.003.0002
- Subject:
- Economics and Finance, Financial Economics

In dynamic economics, a set of equations are used to describe how state variables undergo dynamic evolution. This set of equations is used in maximizing a specific objective function that proves to ... More

## Introduction: From Pipeline Economics to Computational Economics

*Ramon Marimon and Andrew Scott*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0001
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Starts by looking at the advances in macroeconomics that have been made since A. W. Phillips's 1958 Economica paper and his physical economic model (made of piping and valves) designed to teach ... More

## Linear Quadratic Approximations: An Introduction

*Javier Díaz‐Giménez*

### in Computational Methods for the Study of Dynamic Economies

- Published in print:
- 2001
- Published Online:
- November 2003
- ISBN:
- 9780199248278
- eISBN:
- 9780191596605
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199248273.003.0002
- Subject:
- Economics and Finance, Macro- and Monetary Economics

This is a brief introduction to dynamic programming and the method of using linear quadratic (LQ) approximations to the return function; the method is an approximation because it computes the ... More

## Dynamic Consumption Theory

*Fabio-Cesare Bagliano and Giuseppe Bertola*

### in Models for Dynamic Macroeconomics

- Published in print:
- 2004
- Published Online:
- January 2005
- ISBN:
- 9780199266821
- eISBN:
- 9780191601606
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199266824.003.0001
- Subject:
- Economics and Finance, Macro- and Monetary Economics

Solves the basic version of the intertemporal consumption choice model under rational expectations. Discrete‐time dynamic optimization techniques are introduced and the theoretical relationships ... More

## Strategic Asset Allocation in Continuous Time

*John Y. Campbell and Luis M. Viceira*

### in Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

- Published in print:
- 2002
- Published Online:
- November 2003
- ISBN:
- 9780198296942
- eISBN:
- 9780191596049
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198296940.003.0005
- Subject:
- Economics and Finance, Financial Economics

Discusses solution methods for dynamic asset allocation problems in a continuous‐time framework, and uses them to explore optimal portfolio choice with time‐varying volatility and with parameter ... More

## Economic Growth

*GREGORY C. CHOW*

### in Dynamic Economics: Optimization by the Lagrange Method

- Published in print:
- 1997
- Published Online:
- October 2011
- ISBN:
- 9780195101928
- eISBN:
- 9780199855032
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195101928.003.0003
- Subject:
- Economics and Finance, Financial Economics

Through dynamic programming, the Bellman equation could be set up from a simple optimal growth model that is subject to a constraint function which involves variables that denote consumption, capital ... More

## Models of Investment

*GREGORY C. CHOW*

### in Dynamic Economics: Optimization by the Lagrange Method

- Published in print:
- 1997
- Published Online:
- October 2011
- ISBN:
- 9780195101928
- eISBN:
- 9780199855032
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195101928.003.0008
- Subject:
- Economics and Finance, Financial Economics

In models that represent the investment decision made by a firm, the decision is to be perceived as an option to invest. As such, the option cannot be reversed once it has been employed. By the ... More

## Stochastic Optimal Control

*Tomas Björk*

### in Arbitrage Theory in Continuous Time

- Published in print:
- 2004
- Published Online:
- October 2005
- ISBN:
- 9780199271269
- eISBN:
- 9780191602849
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199271267.003.0019
- Subject:
- Economics and Finance, Financial Economics

This chapter analyses the stochastic optimal control problem. The problem considers an economic agent over a fixed time interval [0, T]. At time t = 0, the agent is endowed with initial wealth x0, ... More

## Local versus Global Alignments

*Burkhard Morgenstern*

### in Sequence Alignment: Methods, Models, Concepts, and Strategies

- Published in print:
- 2009
- Published Online:
- March 2012
- ISBN:
- 9780520256972
- eISBN:
- 9780520943742
- Item type:
- chapter

- Publisher:
- University of California Press
- DOI:
- 10.1525/california/9780520256972.003.0003
- Subject:
- Biology, Evolutionary Biology / Genetics

This chapter compares global and local alignment, discusses the alignment tools that combine both local and global procedures into single algorithms, and examines dynamic programming and its ... More

## The Value Functional: Applications

*Patrick L. Anderson*

### in The Economics of Business Valuation: Towards a Value Functional Approach

- Published in print:
- 2013
- Published Online:
- September 2013
- ISBN:
- 9780804758307
- eISBN:
- 9780804783224
- Item type:
- chapter

- Publisher:
- Stanford University Press
- DOI:
- 10.11126/stanford/9780804758307.003.0016
- Subject:
- Economics and Finance, Financial Economics

This chapter demonstrates practical uses of the value functional approach in the estimation of the value of operating businesses. It includes a detailed discussion of state and control variables, a ... More

## Individual Optimality

*Claus Munk*

### in Financial Asset Pricing Theory

- Published in print:
- 2013
- Published Online:
- May 2013
- ISBN:
- 9780199585496
- eISBN:
- 9780191751790
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199585496.003.0006
- Subject:
- Economics and Finance, Econometrics

This chapter solves the optimal consumption and investment decisions of a rational individual in various settings. First, the simple one-period framework is considered, where straightforward ... More

## Insights and Algorithms

*Cristopher Moore and Stephan Mertens*

### in The Nature of Computation

- Published in print:
- 2011
- Published Online:
- December 2013
- ISBN:
- 9780199233212
- eISBN:
- 9780191775079
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199233212.003.0003
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

There are many forms of mathematical insights, but only a few major strategies can be used to construct polynomial-time algorithms. These include divide and conquer, dynamic programming, greedy ... More

## One-Player Dynamic Games

*João P. Hespanha*

### in Noncooperative Game Theory: An Introduction for Engineers and Computer Scientists

- Published in print:
- 2017
- Published Online:
- May 2018
- ISBN:
- 9780691175218
- eISBN:
- 9781400885442
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691175218.003.0015
- Subject:
- Mathematics, Logic / Computer Science / Mathematical Philosophy

This chapter focuses on one-player discrete time dynamic games, that is, the optimal control of a discrete time dynamical system. It first considers solution methods for one-player dynamic games, ... More

## Investing for the Long Run

*Andrew Ang*

### in Asset Management: A Systematic Approach to Factor Investing

- Published in print:
- 2014
- Published Online:
- August 2014
- ISBN:
- 9780199959327
- eISBN:
- 9780199382323
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199959327.003.0004
- Subject:
- Economics and Finance, Financial Economics

The foundation of long-term investing is to rebalance to fixed asset positions, which are determined in a one-period portfolio choice problem where the asset weights reflect the investor’s attitude ... More