Pascal Michaillat

mathemAtical methods for macroeconomics


author・Pascal Michaillat
date・September 2013
school・London School of Economics & Political Science
permalink・https://www.pascalmichaillat.org/t3.html

teaching material

course overview・This course covers basic mathematical methods to study dynamical systems, in discrete time and in continuous time. Dynamical systems are systems that involve more than one time-period; they are prevalent in macroeconomics. The course first discusses dynamic programming, a method to solve discrete-time optimization problems. It then turns to optimal control, a method to solve continuous-time optimization problems. Finally, it shows how to solve differential equations, which are key to describe continuous-time systems.

​lecture notes 1・Dynamic Programming
​lecture notes 2・Optimal Control
​lecture notes 3・Differential Equations

​reference 1・Introduction to Modern Economic Growth: Chapters 6 & 7
reference 2・Differential Equations, Dynamical Systems, and an Introduction to Chaos