Geodesic
The Method of Characteristics in Macroeconomic Modeling
Contributions to game theory and management, Tome 3 (2010), pp. 399-408

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The problem of identification of a macroeconomic model is considered for statistic data given at fixed instants in a time-interval. The model has the form of two ordinary differential equations depending of controlling parameters. A new approach is suggested to solve the identification problem in the framework of optimal control theory. A numerical algorithm based on characteristics of the Bellman equation is suggested to create and verify the model. Results of simulations are exposed.
Keywords: nonlinear system, optimal control, dynamic programming, optimal feedbacks. 
@article{CGTM_2010_3_a29,
     author = {Nina N. Subbotina and Timofei B. Tokmantsev},
     title = {The {Method} of {Characteristics} in {Macroeconomic} {Modeling}},
     journal = {Contributions to game theory and management},
     pages = {399--408},
     publisher = {mathdoc},
     volume = {3},
     year = {2010},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/CGTM_2010_3_a29/}
}
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Nina N. Subbotina; Timofei B. Tokmantsev. The Method of Characteristics in Macroeconomic Modeling. Contributions to game theory and management, Tome 3 (2010), pp. 399-408. http://geodesic.mathdoc.fr/item/CGTM_2010_3_a29/