Template-Type: ReDIF-Paper 1.0
Author-Name: Gianluca Femminis
Author-X-Name-First: Gianluca
Author-X-Name-Last: Femminis
Author-Email: gianluca.femminis@unicatt.it

Author-Workplace-Name: Università Cattolica del Sacro Cuore
Author-Workplace-Name: Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore



Title: FROM SIMPLE GROWTH TO NUMERICAL SIMULATIONS: A PRIMER IN DYNAMIC PROGRAMMING.


Abstract: These notes provide an intuitive introduction to dynamic
programming. The first two Sections, which can be skipped, present the
standard deterministic Ramsey model using the Lagrangian approach.
Section 3 reformulates the Ramsey problem by means of a Bellman equation,
while Section 4 shows how to “guess” the maximum value function
solving the problem (when this is possible). Section 5 is devoted to
applications of the envelope theorem. Section 6 provides a “paper and
pencil” introduction to the numerical techniques used in dynamic programming,
and can be skipped by the uninterested reader. Sections 7
to 9 are devoted to stochastic modelling, and to the use of stochastic
Bellman equations. Section 10 extends the discussion of numerical techniques.
Two Appendixes provide details about the Matlab routines used
to deal with the examples, and the solutions of the exercises proposed
in the main text.
Length: 118
Creation-Date: 2016-10
File-URL: http://dipartimenti.unicatt.it/economia-finanza-def050.pdf
File-Format: Application/pdf
File-Function: First version, 2016
Number: def050
Classification-JEL: C61, O41, C63. 
Keywords: Dynamic programming, Bellman equation, Optimal growth, Numerical techniques.
Handle: RePEc:ctc:serie1:def050