Applied Intertemporal Optimization PhD

PORTA Veranst.-Nr.






14402837Applied Intertemporal Optimization PhDProf. Dr. BauerWS 20/211 Semestersiehe PORTA Veranst.-Nr. 14402837

The course will cover part 1 to 3 of Klaus Wälde’s well known textbook “Applied Intertemporal Optimization”. (free download Students will become familiar with the methods used in discrete and continuous  time optimization under certainty and stochastic optimization in discrete time including additional examples and exercises. Below find  the book’s abstract, which contains an excellent summary of the reasons why to join this course:

“This textbook provides all tools required to easily solve intertemporal optimization problems in economics, finance, business administration and related disciplines. The focus of this textbook is on 'learning through examples' and gives a very quick access to all methods required by an undergraduate student, a PhD student and an experienced researcher who wants to explore new fields or confirm existing knowledge. Given that discrete and continuous time problems are given equal attention, insights gained in one area can be used for learning solutions methods more quickly in other contexts. This step-by-step approach is especially useful for the transition from deterministic to stochastic worlds. When it comes to stochastic methods in continuous time, the applied focus of this book is the most useful. Formulating and solving problems under continuous time uncertainty has never been explained in such a non-technical and highly accessible way.”

Grading: Final exam or thesis paper (group)

Upon request, students can agree upon a tighter schedule (fewer but longer blocks) in the first online meeting before the semester (t.b.a.)