stochastic optimal control and the u s financial debt crisis

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Stochastic Optimal Control And The U S Financial Debt Crisis

Author : Jerome L. Stein
ISBN : 9781461430797
Genre : Business & Economics
File Size : 90. 45 MB
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Stochastic Optimal Control (SOC)—a mathematical theory concerned with minimizing a cost (or maximizing a payout) pertaining to a controlled dynamic process under uncertainty—has proven incredibly helpful to understanding and predicting debt crises and evaluating proposed financial regulation and risk management. Stochastic Optimal Control and the U.S. Financial Debt Crisis analyzes SOC in relation to the 2008 U.S. financial crisis, and offers a detailed framework depicting why such a methodology is best suited for reducing financial risk and addressing key regulatory issues. Topics discussed include the inadequacies of the current approaches underlying financial regulations, the use of SOC to explain debt crises and superiority over existing approaches to regulation, and the domestic and international applications of SOC to financial crises. Principles in this book will appeal to economists, mathematicians, and researchers interested in the U.S. financial debt crisis and optimal risk management.

Stochastic Optimal Control International Finance And Debt Crises

Author : Jerome L. Stein
ISBN : 9780199280575
Genre : Business & Economics
File Size : 33. 60 MB
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This book focuses on the interaction between equilibrium real exchange rates, optimal external debt, endogenous optimal growth and current account balances, in a world of uncertainty. The theoretical parts result from interdisciplinary research between economics and applied mathematics. From the economic theory and the mathematics of stochastic optimal control the author derives benchmarks for the optimal debt and equilibrium real exchange rate in an environment where both thereturn on capital and the real rate of interest are stochastic variables. The theoretically derived equilibrium real exchange rate - the "natural real exchange rate" NATREX - is where the real exchange rate is heading. These benchmarks are applied to answer the following questions.* What is a theoretically based empirical measure of a "misaligned" exchange rate that increases the probability of a significant depreciation or a currency crisis?* What is a theoretically based empirical measure of an "excess" debt that increases the probability of or a debt crisis?* What is the interaction between an excess debt and a misaligned exchange rate?The theory is applied to evaluate the Euro exchange rate, the exchange rates of the transition economies, the sustainability of U.S. current account deficits, and derives warning signals of the Asian crises and debt crises in emerging markets.

Control Of Stochastic Hybrid Systems Based On Probabilistic Reachable Set Computation

Author : Leonhard Asselborn
ISBN : 9783737605809
Genre :
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This thesis proposes an algorithmic controller synthesis based on the computation of probabilistic reachable sets for stochastic hybrid systems. Hybrid systems consist in general of a composition of discrete and continuous valued dynamics, and are able to capture a wide range of physical phenomena. The stochasticity is considered in form of normally distributed initial continuous states and normally distributed disturbances, resulting in stochastic hybrid systems.

The reachable sets describe all states, which are reachable by a system for a given initialization of the system state, inputs, disturbances, and time horizon. For stochastic hybrid systems, these sets are probabilistic, since the system state and disturbance are random variables. This thesis introduces probabilistic reachable sets with a predefined confidence, which are used in an optimization based procedure for the determination of stabilizing control inputs. Besides the stabilizing property, the controlled dynamics also observes input constraints, as well as, so-called chance constraints for the continuous state.

The main contribution of this thesis is the formulation of an algorithmic control procedure for each considerd type of stochastic hybrid systems, where different discrete dynamics are considered. First, a control procedure for a deterministic system with bounded disturbances is introduced, and thereafter a probabilistic distribution of the system state and the disturbance is assumed. The formulation of probabilistic reachable sets with a predefined confidence is subsequently used in a control procedure for a stochastic hybrid system, in which the switch of the continuous dynamics is externally induced. Finally, the control procedure based on reachable set computation is extended to a type of stochastic hybrid systems with autonomously switching of the continuous dynamics.

The Eurozone Crisis And The Future Of Europe

Author : Rajeesh Kumar
ISBN : 9781137356758
Genre : Political Science
File Size : 40. 44 MB
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The authors uncover the roots of the eurozone crisis, focusing on how this can be solved against the backdrop of a very deep financial and economic crisis and its strong social impact. Looking at the impact of the financial crisis on the eurozone, they explore the European Union's recent and future developments.

Controlled Markov Processes

Author : E. B. Dunkin
ISBN : OCLC:770919848
Genre :
File Size : 36. 8 MB
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Australian Economic Papers

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ISBN : UOM:39015079808146
Genre : Economics
File Size : 40. 66 MB
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Nachhaltigkeit Der Staatsverschuldung

Author : Reinhard Neck
ISBN : 3631609795
Genre : Business & Economics
File Size : 50. 42 MB
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Das Buch berichtet uber Tests der Budgetpolitik auf Nachhaltigkeit der Staatsschulden, insbesondere in der Eurozone, uber die makrookonomischen Auswirkungen von Austeritatspolitik, uber Pensionspolitik und uber den Stabilitats- und Wachstumspakt. Es enthalt Landerstudien fur die USA, Deutschland, Osterreich, Italien und Grobritannien.

Dieses Mal Ist Alles Anders

Author : Carmen Reinhart
ISBN : 9783862484386
Genre : Political Science
File Size : 61. 17 MB
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Dieses Mal ist alles anders. Die derzeitige Krise ist überhaupt nicht vergleichbar mit vergangenen Situationen – darin sind sich die Experten einig, wann immer ein Wirtschaftssystem oder ein Staat zusammenbricht. Carmen Reinhart und Kenneth Rogoff haben die Crashs der letzten 800 Jahre analysiert. Ihr erstaunliches Ergebnis: In Wahrheit sind es doch immer die gleichen Fehler, die zum Kollaps geführt haben.

Aanwinsten Van De Centrale Bibliotheek Queteletfonds

Author : Bibliothèque centrale (Fonds Quetelet)
ISBN : STANFORD:36105115074192
Genre :
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Deutsche Nationalbibliographie Und Bibliographie Der Im Ausland Erschienenen Deutschsprachigen Ver Ffentlichungen

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ISBN : STANFORD:36105211723098
Genre : German literature
File Size : 65. 78 MB
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