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dc.contributor.advisorSerrano, Rafael 
dc.creatorZambrano Jurado, Juan Carlos 
dc.date.accessioned2021-04-29T16:58:51Z
dc.date.available2021-04-29T16:58:51Z
dc.date.created2021-04-22
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/31310
dc.descriptionEste documento contiene tres aportes teóricos que se encuentran en la interacción entre los modelos estocásticos de equilibrio general, la macroeconomía dinámica y el control óptimo en tiempo continuo. En el primer capítulo, se estudia una solución analítica de dos modelos DSGE (Dynamic Stochastic General Equilibrium) en tiempo continuo con preferencias CRRA, tecnología tipo Cobb-Douglas y choques en la dinámica de acumulación de capital que combinan un proceso de difusión con saltos aleatorios asociados a eventos raros. El factor de tecnología puede tomar la forma de un proceso CIR con reversión a la media o un movimiento browniano geométrico. En el segundo capítulo, se propone la solución de un modelo de crecimiento neoclásico estocástico en tiempo continuo con un solo sector, de tipo Ramsey, con función de utilidad CRRA y tecnología tipo Cobb-Douglas, con acumulación de capital, efectividad y la fuerza del trabajo sujetos a choques exógenos que siguen procesos de difusión con saltos, dados por eventos raros. Finalmente, en el tercer capítulo, estudiamos un problema de agentes heterogéneos en tiempo continuo. Analizamos el efecto de los choques estocásticos con saltos en la dinámica y distribución del ingreso de los agentes, y su impacto en el consumo, el ahorro y la distribución conjunta de la riqueza e ingreso. En todos los modelos, el principio de programación dinámica, el teorema de veri cación y el método de diferencias nitas permitieron encontrar soluciones analíticas y numéricas de las ecuaciones de Hamilton-Jacobi-Bellman (HJB) y Kolmogorov-Forward (kF). Eso permite obtener las funciones de política óptimas para las variables de control, analizar en cada caso de forma analítica y numérica los efectos de este tipo de choques estocásticos sobre las decisiones económicas de los agentes; como también destacar que el empleo de modelos dinámicos, que siguen procesos de difusión con saltos, representan los fenómenos económicos de forma más realista y enriquecen el análisis en ambientes con riesgo e incertidumbre.
dc.description.abstractThis document contains three theoretical contributions that lie in the interplay between stochastic general equilibrium models, dynamic macroeconomics, and optimal control in continuous time. In the first chapter, we study an analytic solution of two continuous-time DSGE models with CRRA preferences, Cobb-Douglas type technology, and shocks in the capital accumulation dynamics that combine a diffusion process with random jumps associated with rare events. The technology factor can take the form of, either a mean-reverting CIR process or a geometric Brownian motion. In the second chapter, we study a stochastic continuous-time one-sector neoclassical growth model of Ramsey type with CRRA utility function and a Cobb-Douglas type technology, with capital accumulation, efectivity and the labor force subject to exogenous shocks that follow diffusion processes with jumps, given by rare events. Finally, in the third chapter, we study a heterogeneous agent problem in continuous time. We analyze the effect of stochastic shocks with jumps in the dynamics and distribution of agent's income, and their impact on consumption, saving and joint distribution of wealth and income. In all models, the dynamic programming principle, the veri cation theorem and the method of finite differences allowed us to find analytical and numerical solutions of the Hamilton-Jacobi-Bellman (HJB) and Kolmogorov-Forward (kF) equations. This allows obtaining the optimal policy functions for the control variables, analyzing in each case analytically and numerically the effects of this type of stochastic shocks on the economic decisions of the agents; as well as highlighting that the use of dynamic models, which follow diffusion processes with jumps, represent economic phenomena in a more realistic way and enrich the analysis in environments with risk and uncertainty.
dc.format.extent220 pp.
dc.format.mimetypeapplication/pdf
dc.language.isospa
dc.rightsAtribución-NoComercial-SinDerivadas 2.5 Colombia
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.5/co/
dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.subjectModelos de agentes heterogéneos
dc.subjectProcesos de difusión con saltos aleatorios
dc.subjectEcuaciones de Hamilton-Jacobi- Bellman y kolmogorov-Forward
dc.subjectModelos económicos de equilibrio general aplicado
dc.subjectModelos EGDE (equilibrio general dinámico estocástico) en tiempo continuo
dc.subjectControl óptimo estocástico en modelos Economicos
dc.subjectMétodo de diferencias finitas en modelación económica
dc.subjectAnálisis de riesgo de desastres económico
dc.subject.ddcMacroeconomía & temas relacionados 
dc.titleUn enfoque teórico en tiempo continuo para modelos de equilibrio general dinámicos estocásticos
dc.typedoctoralThesis
dc.publisherUniversidad del Rosario
dc.creator.degreeDoctor en Economía
dc.publisher.programDoctorado en Economía
dc.publisher.departmentFacultad de Economía
dc.subject.keywordHeterogeneous agent models
dc.subject.keywordDiffusion processes with random hops
dc.subject.keywordHamilton-Jacobi- Bellman and kolmogorov-Forward equations
dc.subject.keywordApplied General Equilibrium Economic Models
dc.subject.keywordContinuous-Time DSGE Models (Stochastic Dynamic General Equilibrium)
dc.subject.keywordOptimal stochastic control in economic models
dc.subject.keywordFinite difference method in economic modeling
dc.subject.keywordEconomic disaster risk analysis
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.type.spaTesis de doctorado
dc.rights.accesoAbierto (Texto Completo)
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
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dc.title.TranslatedTitleA theoretical approach in continuous time to dynamic general equilibrium models stochastics


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Atribución-NoComercial-SinDerivadas 2.5 Colombia
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