Spectral utility, Wiener-Hopf techniques, and rational expectations

DOI10.1016/0165-1889(85)90005-3zbMath0655.90012OpenAlexW2021710611MaRDI QIDQ1109666

Charles H. Whiteman

Publication date: 1985

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(85)90005-3

zbMATH Keywords

Wiener-Hopf methodsfrequency-domain methodslinear-quadratic dynamic rational expectations models

Mathematics Subject Classification ID

Utility theory (91B16) Economic growth models (91B62)

Related Items (13)

Analytic policy function iteration ⋮ Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes ⋮ Aggregate fluctuations as an information transmission mechanism ⋮ Dynamic consistency of insurance contracts under enforcement by exclusion ⋮ Optimal policy in a model of endogenous fluctuations and assets ⋮ Signal-jamming in the frequency domain ⋮ The dynamics of strategic information flows in stock markets ⋮ Aggregate fluctuations, interest rates, and repeated insurance under private information ⋮ THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS ⋮ Aggregate fluctuations, interest rates, and repeated insurance under private information ⋮ Design limits and dynamic policy analysis ⋮ Speculative dynamics ⋮ Structural asset pricing theory with wavelets

Cites Work

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• Modern Wiener--Hopf design of optimal controllers Part I: The single-input-output case
• Modern Wiener-Hopf design of optimal controllers--Part II: The multivariable case
• Spectral Utility Functions and the Design of a Stationary System
• Analytical Policy Design under Rational Expectations
• Factorization of discrete-process spectral matrices (Corresp.)
• Extension of analytical design techniques to multivariable feedback control systems

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