Mathematical Methods, Part I: Applied Intertemporal Optimization

Lecture 1st year

Graduate School of Economics, Finance and Management (GSEFM)

Lecturer: Marten Hillebrand

Teaching Assistant: Van Hoang Khieu

Organizational issues

The course "Mathematical Methods" covers difference and differential equations and dynamic optimization in part 1 and numerical approximation methods in part 2. Lectures for part 1 take place on Mondays from 10:15 to 11:45 and 12:30 to 14:00, in room SH 2.101 on Campus Westend, on the following dates:

October 12, 19, 26

November 2, 9, 16, 23

Part 1 finishes with a midterm exam which takes place on November 30. Details will be announced in due course.

Most of the material for part 1 is based on the textbook "Applied intertemporal optimization" by Klaus Wälde. It can be downloaded from http://www.waelde.com/pdf/AIO.pdf.

The material of the book will be complemented by electronic slides which will be made available to students.

There will be lectures only and no tutorials. Problem sets will be issued on a regular basis. Solutions must be handed in at the beginning of the following week (prior to class).

Contents

I. Deterministic Models in Discrete Time

II. Stochastic Models in Discrete Time

III. Deterministic Models in Continuous Time

IV. Stochastic Models in Continuous Time (time permitting)

Course material

Outline

Slides, Part I

Slides, Part II

All slides

Problem Set 1

Solution Problem Set 1

Problem Set 2 [updated!]

Solution Problem Set 2

Problem Set 3

Solution Problem Set 3

Complementary Solution to Problem Set 3

Problem Set 4

Solution Problem Set 4

Problem Set 5

Solution Problem Set 5

Problem Set 6

Solution Problem Set 6

Complementary Solution Problem Set 6

For all questions concerning the lecture, please contact Marten Hillebrand.

For all questions concerning problem sets, please contact Van Hoang Khieu.