A0610
Title: Stochastic and robust designs to model the interaction of fiscal and monetary policies in a wavelet-based framework
Authors: Patrick Crowley - Texas A\&M University - Corpus Christi (United States) [presenting]
David Hudgins - Texas A\&M University - Corpus Christi (United States)
Abstract: Fiscal and monetary policies are analyzed in a wavelet-based optimal control setting under stochastic and mixed minimax robust optimal control. The state-space model is constructed by applying the Maximal Overlap Discrete Wavelet Transform (MODWT) to U.S. quarterly real GDP data. We derive the theoretical framework for the linear-quadratic Gaussian design and the mixed design where the disturbances in a subset of frequency ranges are stochastic, and the other disturbances are modeled by a multiple-parameter minimax worst-case robust design. This research is the first to integrate robust control and dynamic game theory with wavelet decomposition.
