Measure Theory
Jesus Fernandez-Villaverde
University of Pennsylvania
1
Why Bother with Measure Theory?
Kolmogorov (1933).
Foundation of modern probability.
Deals easily with:
1. Continuous versus disc
National Income and Product Accounts
Jesus Fernandez-Villaverde
University of Pennsylvania
1
National Income and Product Accounts
What is the goal?
When did it begin?
1. U.S.: Simon Kuznets (Nobel in
Optimization in Continuous Time
Jess Fernndez-Villaverde
University of Pennsylvania
November 9, 2013
Jess Fernndez-Villaverde (PENN)
Optimization in Continuous Time
November 9, 2013
1 / 28
Motivation
Stochastic Dynamic Programming
Jesus Fernandez-Villaverde
University of Pennsylvania
1
Introducing Uncertainty in Dynamic Programming
Stochastic dynamic programming presents a very
to handle multitude
Numerical Dynamic Programming
Jesus Fernandez-Villaverde
University of Pennsylvania
1
Introduction
In the last set of lecture notes, we reviewed some theoretical background on numerical programming.
N
Continuous Time Stochastic Processes
Jess Fernndez-Villaverde
University of Pennsylvania
November 9, 2013
Jess Fernndez-Villaverde (PENN)
Stochastic Processes
November 9, 2013
1 / 10
Continuous Time S
Spectral Analysis
Jesus Fernandez-Villaverde
University of Pennsylvania
1
Why Spectral Analysis?
We want to develop a theory to obtain the business cycle properties
of the data. Burns and Mitchell (19