Authorised by Academic Registrar, April 1996
Objectives On completion of this subject students should be: able to understand the necessary conditions of calculus of variations and optimal control; capable of posing and solving as problems of intertemporal optimisation the standard problems of investment, consumption and optimal growth; capable of reading current literature in these areas.
Synopsis Mathematical preliminaries; static optimisation theory; introduction to calculus of variations and optimal control theory; necessary and sufficient conditions; investment theory: costs of adjustment, neoclassical, q theory; consumption theory; use of duality theory; growth models; Hamilton Jacobi theory; discrete time stochastic models; selected current applications.
Assessment Written (three assignments): 40% + Examination (3 hours): 60%