Dynamic and Continuous-Time Methods

4 units · Graduate courses (200-299)

Lecture, three hours. Requisites: courses 201A, 201B, 201C, or equivalents. Introduction to continuous-time and dynamic optimization methods for economists and those in neighboring fields. While continuous-time modeling and the tools of stochastic calculus have a long tradition in finance (e.g., Black-Scholes option pricing), in recent years they have received renewed interest and paved the way for important applications across many fields of economics (e.g., contract theory, macro, corporate finance, game theory, and information economics). In large part, this is because continuous-time models can be much more tractable than their discrete-time counterparts. Survey of basic tools of stochastic calculus and dynamic optimization. Sampling of several prominent, and sometimes very recent, economic applications of these tools with topic coverage tailored to student and instructor interest. S/U or letter grading.