**Stochastic Optimal Control, and U.S. Debt Crises**

by Jerome Stein

**Publisher**: Springer 2012**ISBN/ASIN**: 146143078X**ISBN-13**: 9781461430780**Number of pages**: 180

**Description**:

Stochastic Optimal Control (SOC) is very helpful in understanding and predicting debt crises. The mathematical analysis is applied empirically to the financial debt crisis of 2008, the crises of the 1980s and concludes with an analysis of the European debt crisis. I use SOC to derive a theoretically founded quantitative measure of an optimal, and an excessive leverage/ debt/ risk that increases the probability of a crisis. The optimal leverage balances risk against expected growth. The environment is stochastic: the capital gain, productivity of capital and interest rate are stochastic variables, and for an insurance company, such as AIG, the claims are also stochastic. I associate the housing price bubble with the growth of household debt. A bubble is dangerous insofar as it induces a non-sustainable debt. This danger is exacerbated insofar as a complex financial system is based upon it.

Download or read it online for free here:

**Download link**

(multiple PDF files)

## Similar books

**Introduction to Python for Econometrics, Statistics and Numerical Analysis**

by

**Kevin Sheppard**

Python is a widely used general purpose programming language, which happens to be well suited to Econometrics and other more general purpose data analysis tasks. These notes provide an introduction to Python for a beginning programmer.

(

**14630**views)

**Econometrics**

by

**Thomas Andren**-

**BookBoon**

This book covers the most basic concepts in econometrics. Subjects as basic probability and statistics, statistical inference with the simple and multiple regression model, dummy variables and auto correlation are explained.

(

**9418**views)

**The Computation of Economic Equilibria**

by

**Herbert Scarf**-

**Yale University Press**

Contents: Problem of Computing Equilibrium Prices; Determination of an Approximate Fixed Point of Continuous Mapping; Numerical Applications of Brouwer's Theorem; An Extension of the Algorithm; Computation of Equilibria in a General Walrasian Model.

(

**5365**views)

**Urban Travel Demand: A Behavioral Analysis**

by

**Tom Domencich, Daniel L. McFadden**-

**North-Holland Publishing**

'Urban Travel Demand' develops a theory of demand for populations of individual economic consumers which we believe is a logical and natural generalization of traditional theory to encompass choice among discrete alternatives.

(

**8206**views)