Random Quote: One has to keep a particular openness of mind. Solving a problem is like going to a strange place, not to subdue it, but simply to spend time there, to preserve one’s openness, to wait for the signals, to wait for the strangeness to dissolve into sense. – Peter Whittle
This is the homepage for Economic Dynamics: Theory and Computation, a graduate level introduction to deterministic and stochastic dynamics, dynamic programming and computational methods with economic applications.
The topics covered in the book are fairly similar to those found in “Recursive Methods in Economic Dynamics” by Nancy Stokey and Robert Lucas. While it does not match the vast number of economic models in that text, the treatment of stochastic dynamics and dynamic programming is more up to date, and the text uses programming extensively, both to solve problems and to illustrate ideas. The material is certainly technical, but the book has plenty of intuition and examples.
Graduate students of finance and operations research should also find the material useful to them. And researchers in economics will find new techniques for analyzing and simulating random dynamic models.
The second edition is currently being written, and will include new material plus solutions for most (if not all) exercises.
This set of lectures, joint with Tom Sargent, treats topics similar to the text, but with more emphasis on programming. It contains many solved exercises.
The Python programs from the book and their MATLAB equivalents can be downloaded from Github.
“This book is a delightfully novel and thorough treatment of stochastic dynamic modeling. It builds on well known results as well as synthesizing the latest developments. Readers will find the many pictures and graphics as well as computer code and examples incredibly helpful. The book is beautifully written by a rapidly rising young star and is a must read for any economist and other researchers who want to learn the tools of dynamic stochastic modeling and apply these tools in their own research.” - William A. Brock, Vilas Research Professor of Economics, The University of Wisconsin, Madison
“An invaluable monograph on stochastic dynamical systems that’s ideally suited as a supplement for graduate courses in computational general equilibrium, macroeconomics, and asset pricing. The emphasis on economic illustrations and computational codes makes this volume a rich source of tools for students, instructors, and practitioners of economic dynamics.” - Costas Azariadis, Mallinckrodt University Professor and Director, Center for Dynamic Economics, Washington University, St. Louis
“Graduate macroeconomics courses are becoming technically more sophisticated every year. Currently there are very few books available that introduce the necessary mathematical techniques to understand modern macroeconomics and that are comprehensible to the nonmathematician. John Stachurski’s book helps fill this void. It is easy to read–conversational in tone–and yet it does not shy away from difficult material. But the book is more than just an introduction to dynamics for the mathematically challenged graduate student. It will also be an invaluable aid to the researcher as a reference book on stochastic dynamics.” - Roger Farmer, Department of Economics, UCLA
“John Stachurski has written the book that convincingly links theoretical models of discrete time, nonlinear growth models, and the simulation and computation of the applications of these models. He makes these growth models accessible to researchers through the connection of theory and technique. Economic Dynamics covers foundational material useful for students and researchers. I highly recommend this book.” - Leonard J. Mirman, Department of Economics, University of Virginia