Potential dynamic games with timing frictions
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/27476 |
Resumo: | Nesse presente trabalho, nós propomos duas alternativas para tornar o modelo do Frankel and Pauzner [2000] analiticamente mais tratável. Primeiro, nós mostramos que é possível resolver recursivamente o modelo ao maximizar a função de utilidade de um único agente representativo, o que nos permite, portanto, aplicar os ferramentais de programação dinâmica. Além disso, é proposto um método numérico que nos ajudaria a realizar algumas estáticas comparativas quando os choques presentes no modelo são relativamente pequenos em relação às fricções. |
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Souza, Nicolas Pimentel deEscolas::EESPMachado, Caio HenriqueCamargo, Bráz Ministério deGuimarães, Bernardo de Vasconcellos2019-06-03T12:40:08Z2019-06-03T12:40:08Z2019-05-16http://hdl.handle.net/10438/27476Nesse presente trabalho, nós propomos duas alternativas para tornar o modelo do Frankel and Pauzner [2000] analiticamente mais tratável. Primeiro, nós mostramos que é possível resolver recursivamente o modelo ao maximizar a função de utilidade de um único agente representativo, o que nos permite, portanto, aplicar os ferramentais de programação dinâmica. Além disso, é proposto um método numérico que nos ajudaria a realizar algumas estáticas comparativas quando os choques presentes no modelo são relativamente pequenos em relação às fricções.In this dissertation, we propose two distinct approaches in order to improve the Frankel and Pauzner (2000) model tractability. We first show that, using the notion of potential functions, we could solve the model recursively by maximizing the utility of a single representative agent, allowing us, therefore, to use the dynamic programming toolbox. Additionally, we propose a numerical method that would permit us do some comparative statics when the shocks are relatively small compared to the frictions.engPotential functionsStochasticDynamic gamesFunção potencialJogos dinâmicosEstocásticosEconomiaTeoria dos jogosProcesso estocásticoModelos matemáticosEconomiaPotential dynamic games with timing frictionsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALDissertation_Nicolas.pdfDissertation_Nicolas.pdfPDFapplication/pdf601746https://repositorio.fgv.br/bitstreams/0071428d-85b5-46ea-8f8c-b5feb67da0f1/downloadc8109d8b0f3a255fbb2729a694ed27d8MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv |
Potential dynamic games with timing frictions |
title |
Potential dynamic games with timing frictions |
spellingShingle |
Potential dynamic games with timing frictions Souza, Nicolas Pimentel de Potential functions Stochastic Dynamic games Função potencial Jogos dinâmicos Estocásticos Economia Teoria dos jogos Processo estocástico Modelos matemáticos Economia |
title_short |
Potential dynamic games with timing frictions |
title_full |
Potential dynamic games with timing frictions |
title_fullStr |
Potential dynamic games with timing frictions |
title_full_unstemmed |
Potential dynamic games with timing frictions |
title_sort |
Potential dynamic games with timing frictions |
author |
Souza, Nicolas Pimentel de |
author_facet |
Souza, Nicolas Pimentel de |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Machado, Caio Henrique Camargo, Bráz Ministério de |
dc.contributor.author.fl_str_mv |
Souza, Nicolas Pimentel de |
dc.contributor.advisor1.fl_str_mv |
Guimarães, Bernardo de Vasconcellos |
contributor_str_mv |
Guimarães, Bernardo de Vasconcellos |
dc.subject.eng.fl_str_mv |
Potential functions Stochastic Dynamic games |
topic |
Potential functions Stochastic Dynamic games Função potencial Jogos dinâmicos Estocásticos Economia Teoria dos jogos Processo estocástico Modelos matemáticos Economia |
dc.subject.por.fl_str_mv |
Função potencial Jogos dinâmicos Estocásticos |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Teoria dos jogos Processo estocástico Modelos matemáticos Economia |
description |
Nesse presente trabalho, nós propomos duas alternativas para tornar o modelo do Frankel and Pauzner [2000] analiticamente mais tratável. Primeiro, nós mostramos que é possível resolver recursivamente o modelo ao maximizar a função de utilidade de um único agente representativo, o que nos permite, portanto, aplicar os ferramentais de programação dinâmica. Além disso, é proposto um método numérico que nos ajudaria a realizar algumas estáticas comparativas quando os choques presentes no modelo são relativamente pequenos em relação às fricções. |
publishDate |
2019 |
dc.date.accessioned.fl_str_mv |
2019-06-03T12:40:08Z |
dc.date.available.fl_str_mv |
2019-06-03T12:40:08Z |
dc.date.issued.fl_str_mv |
2019-05-16 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
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masterThesis |
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http://hdl.handle.net/10438/27476 |
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http://hdl.handle.net/10438/27476 |
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eng |
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eng |
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openAccess |
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