Stochastic Control and Applications in Economics

随机控制及其在经济学中的应用

• 批准号: 9970852
• 负责人: Wendell Fleming
• 金额: $ 5.17万
• 依托单位: Brown University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1999
• 资助国家: 美国
• 起止时间: 1999-07-01 至 2002-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9970852&HistoricalAwards=false
• 关键词: Stochastic; Control; Applications; Economics

9970852FlemingThis project has two parts. The first concerns risk-sensitive stochastic control on an infinite time horizon, with applications in finance. Investment control policies are sought which maximize the long term growth rate of expected utility of an investor's wealth. Infinite horizon robust control problems are considered as deterministic, small noise intensity limits of risk sensitive problems. The second part concerns macroeconomic growth/debt models for developing economies in which interest and production rates are modelled stochastically. In the models to be considered, capital investment and consumption are being controlled. Among the modelling issues to be addressed are appropriate limitations on borrowing through either hard constraints or penalty functions.This project concerns optimal stochastic control techniques for problems of finance. One area of application concerns investment portfolio optimization over long time horizons. The goal is to suggest investment control policies that provide good growth of an investor's wealth. This is done by optimizing some risk-sensitive performance criterion. Another area of application is to international finance and debt. Recent crises, especially in Asia, have led to questions concerning the causes, how crises can be prevented and possible early warning signs of vulnerability. The goal of this research is to develop and analyze stochastic control models for the growth of developing economies in which interest and production rates are modelled stochastically. The model performance under optimal control policies may provide benchmarks to indicate whether actual current account deficits and foreign debt are sustainable under current policies.

9970852弗莱明这个项目有两个部分。 第一个问题涉及无限时间范围内的风险敏感随机控制，并在金融中应用。 投资控制政策的目的是使投资者财富的预期效用的长期增长率最大化。 无限时域鲁棒控制问题被认为是确定性的、小噪声强度极限的风险敏感问题。 第二部分涉及发展中经济体的宏观经济增长/债务模型，其中利率和生产率是随机建模的。 在将要考虑的模型中，资本投资和消费受到控制。 在建模问题中，要解决的是通过硬约束或惩罚函数对借贷进行适当的限制。 一个应用领域涉及长期投资组合优化。 目标是建议投资控制政策，为投资者的财富提供良好的增长。 这是通过优化一些风险敏感的性能标准来实现的。 另一个适用领域是国际金融和债务。 最近的危机，特别是亚洲的危机，使人们对危机的起因、如何预防危机以及脆弱性的可能预警信号产生了疑问。 本研究的目的是发展和分析发展中经济体的增长，其中利率和生产率的随机建模的随机控制模型。 最优控制政策下的模型表现可以提供基准，以表明在现行政策下，实际的经常账户赤字和外债是否可持续。