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Workshop on Stochastic dynamic optimization


Centre for Health Economics at the University of Gothenburg will organize a workshop on stochastic
dynamic optimization.

The workshop is aimed at Ph.D. students and researchers in economics who
wish to learn an essential mathematical techniques for analyzing and extracting information from
stochastic intertemporal optimization problems.

The workshop will take place at Gothenburg University, Handelshögskolan, 22-26 May 2017,
and, generally speaking, will cover the following material:
(i) Deterministic optimal control theory, dynamic programming, and the Hamilton-
Jacobi-Bellman equation
(ii) Stochastic optimal control theory and the Hamilton-Jacobi-Bellman equation
(iii) Comparative dynamics of optimal feedback solutions using the Hamilton-Jacobi-
Bellman equation
(iv) Applications of the methods to human capital and health economics

The goals of the workshop are to equip the participants to (i) confidently read the literature in
various fields of economics that employ dynamic programming, (ii) formulate and qualitatively
analyze intertemporal optimization problems using dynamic programming, and (iii) begin to understand
the burgeoning literature employing differential game theory.

The workshop will be led by Professor Michael R. Caputo from the Department of Economics at
University of Central Florida. The workshop will consist of two lectures per day, each lasting
two hours. A lunch break will follow the first lecture of each day. Exercises will be suggested for
study so that participants can come to a more complete understanding of the material.

Lecturer: Professor Caputo is one of the world's leading economists when it comes to developing and applying mathematical methods for continuous-time dynamic economic analysis. Generally speaking, his research involves uncovering the intrinsic qualitative properties of static, dynamic, and game theoretic equilibria. His recent research includes the determination of the fundamental testable implications of open-loop and feedback, Nash and Stackelberg equilibria. Professor Caputo is presently engaged in research on rational addiction, both theoretical and empirical. His work has appeared in numerous prestigious journals.

Date & hour: 5/22/2017

Categories: Economics and Law

Organizer: CHEGU

Location: School of Business, Economics and Law, Vasagatan 1

Last day of registration: 3/31/2017 at. 1:00 PM.

Contact person: Kristian Bolin

Registration is closed for this event


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