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Lars Peter Hansen & Thomas J. Sargent

Book Description | Reviews
Chapter 1 [in PDF format]


Preface xv
Acknowledgments xvii

Part I: Motivation and main ideas
Chapter 1: Introduction 3
Chapter 2: Basic ideas and methods 25
Chapter 3: A stochastic formulation 53

Part II: Standard control and filtering
Chapter 4: Linear control theory 67
Chapter 5: The Kalman filter 103

Part III: Robust control
Chapter 6: Static multiplier and constraint games 119
Chapter 7: Time domain games for attaining robustness 139
Chapter 8: Frequency domain games and criteria for robustness 173
Chapter 9: Calibrating misspecification fears with detection error probabilities 213
Chapter 10: A permanent income model 223

Part IV: Multi-agent problems
Chapter 11: Competitive equilibria without robustness 253
Chapter 12: Competitive equilibria with robustness 271
Chapter 13: Asset pricing 295
Chapter 14: Risk sensitivity, model uncertainty, and asset pricing 307
Chapter 15: Markov perfect equilibria with robustness 327
Chapter 16: Robustness in forward-looking models 333

Part V: Robust estimation and filtering
Chapter 17: Robust filtering with commitment 359
Chapter 18: Robust filtering without commitment 383

Part VI: Extensions
Chapter 19: Alternative approaches 403

References 413
Index 427
Author Index 431
Matlab Index 435

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File created: 10/23/2013

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