Thesis (Ph.D.)--Auburn University, 2006. / Abstract. Vita. Includes bibliographic references (ℓ. 267-270)

Master of Arts / Department of Economics / Steven P. Cassou / This report shows the mathematics behind the solution to continuous time optimization problems. It shows how to specify the Hamiltonian function, how to use the Hamiltonian to obtain the optimal conditions for a typical economic optimal control problem and applies these techniques to several optimal control problems commonly encountered in macroeconomics. An appendix shows how to set up the optimal conditions for the case in which the state and co-state variables are both vectors. A second appendix shows how to approach the control situation for a system of optimal control problems where the co-state variable for the first sub-optimal control problem is the state variable for the second sub-optimal control problem.

Resumo: Dois modelos formam a base da teoria moderna de crescimento econômico, conhecidos como modelo de Solow-Swan e modelo de Ramsey-Cass-Koopmans. Os dois modelos são apresentados por uma narrativa linear. O modelo de Solow representaria um primeiro modelo mais básico para compreender o crescimento econômico. Já Ramsey-Cass-Koopmans relaxaria a forte hipótese do primeiro modelo de que a propensão a poupar seria uma alíquota fixa, transformando a decisão de poupança em uma decisão derivada de um comportamento maximizador de utilidade e assim enriquecendo o modelo de Solow por clarificar a relação de crescimento econômico com a teoria do equilíbrio geral. O propósito deste trabalho é desafiar esta narrativa linear. Para isto, a dissertação apresenta outros assuntos de importância para a teoria do crescimento na década de 1960 que não se encaixam nesta narrativa, os teoremas de turnpike e os modelos de dois setores. Estes dois temas atuam como elos que ligam as três distintas comunidades representadas pelos atores Robert Solow, Tjalling Koopmans e David Cass, demonstrando que a relação entre os dois modelos é menos linear do que é usualmente apresentado. / Abstract: Two models shape the basis of modern economic growth theory, known as the Solow-Swan model and the Ramsey-Cass-Koopmans model. Both models are usually presented by a linear narrative. The Solow model would represent a first basic model to understand economic growth. The Ramsey-Cass-Koopmans would come to enrich the basic Solow model, by relaxing the constant propensity to save hypothesis, making the savings decision derived from a utility maximizing behavior. The purpose of this work is to challenge this linear narrative. This dissertation introduce other subjects that were influential to the development of growth theory in the sixties, but don\'t fit in the linear narrative: the turnpike theorems and the two-sector models of growth. These two subjects operate as links that connect three different scientific communities, represented by the actors Robert Solow, Tjalling Koopmans and David Cass, and help to evidence that the relation between the Solow model and the Ramsey-Cass-Koopmans model is less linear than usually presented.

Resumo: Dois modelos formam a base da teoria moderna de crescimento econômico, conhecidos como modelo de Solow-Swan e modelo de Ramsey-Cass-Koopmans. Os dois modelos são apresentados por uma narrativa linear. O modelo de Solow representaria um primeiro modelo mais básico para compreender o crescimento econômico. Já Ramsey-Cass-Koopmans relaxaria a forte hipótese do primeiro modelo de que a propensão a poupar seria uma alíquota fixa, transformando a decisão de poupança em uma decisão derivada de um comportamento maximizador de utilidade e assim enriquecendo o modelo de Solow por clarificar a relação de crescimento econômico com a teoria do equilíbrio geral. O propósito deste trabalho é desafiar esta narrativa linear. Para isto, a dissertação apresenta outros assuntos de importância para a teoria do crescimento na década de 1960 que não se encaixam nesta narrativa, os teoremas de turnpike e os modelos de dois setores. Estes dois temas atuam como elos que ligam as três distintas comunidades representadas pelos atores Robert Solow, Tjalling Koopmans e David Cass, demonstrando que a relação entre os dois modelos é menos linear do que é usualmente apresentado. / Abstract: Two models shape the basis of modern economic growth theory, known as the Solow-Swan model and the Ramsey-Cass-Koopmans model. Both models are usually presented by a linear narrative. The Solow model would represent a first basic model to understand economic growth. The Ramsey-Cass-Koopmans would come to enrich the basic Solow model, by relaxing the constant propensity to save hypothesis, making the savings decision derived from a utility maximizing behavior. The purpose of this work is to challenge this linear narrative. This dissertation introduce other subjects that were influential to the development of growth theory in the sixties, but don\'t fit in the linear narrative: the turnpike theorems and the two-sector models of growth. These two subjects operate as links that connect three different scientific communities, represented by the actors Robert Solow, Tjalling Koopmans and David Cass, and help to evidence that the relation between the Solow model and the Ramsey-Cass-Koopmans model is less linear than usually presented.

We aim to investigate the stability of various stock-flow consistent economic models, and the potential causes for economic collapse therein. Through parameter sensitivity analysis, we study models that feature a public sector, an active central bank, and a household sector with independent consumption. Our final, most comprehensive economic system combines all of the intricacies of each model, prominently featuring a demand-driven economy that is stabilized by an expansionary monetary policy. In addition, we incorporate a climate module for each economic system, and analyze public sector intervention through carbon taxes and abatement subsidies. We find that the most common feature of economic instability is a lack of demand, driven by decreases in capital investment from firms, as well as a decline in household consumption. In order to maintain a stable growth path and prevent a permanent economic contraction, we propose the implementations of an expansionary monetary policy, increased public sector subsidies of abatement costs, and stricter carbon taxes. / Thesis / Master of Science (MSc)

This dissertation explores some applications of statistical mechanics and information theory tools to topics of interest in anthropology, social sciences, and economics. We intended to develop mathematical and computational models with empirical and theoretical bases aiming to identify important features of two problems: the transitions between egalitarian and hierarchical societies and the emergence of money in human societies. Anthropological data suggest the existence of a correlation between the relative neocortex size and the average size of primates\' groups, most of which are hierarchical. Recent theories also suggest that social and evolutionary pressures are responsible for modications in the cognitive capacity of the individuals, what might have made possible the emergence of different types of social organization. Based on those observations, we studied a mathematical model that incorporates the hypothesis of cognitive costs, attributed for each cognitive social representation, to explain the variety of social structures in which humans may organize themselves. A Monte Carlo dynamics allows for the plotting of a phase diagram containing hierarchical, egalitarian, and intermediary regions. There are roughly three parameters responsible for that behavior: the cognitive capacity, the number of agents in the society, and the social and environmental pressure. The model also introduces a modication in the dynamics to account for a parameter representing the information exchange rate, which induces the correlations amongst the cognitive representations. Those correlations ultimately lead to the phase transition to a hierarchical society. Our results qualitatively agree with anthropological data if the variables are interpreted as their social equivalents. The other model developed during this work tries to give insights into the problem of emergence of a unique medium of exchange, also called money. Predominant economical theories, describe the emergence of money as the result of barter economies evolution. However, criticism recently shed light on the lack of historical and anthropological evidence to corroborate the barter hypothesis, thus bringing out doubts about the mechanisms leading to money emergence and questions regarding the inuence of the social configuration. Recent studies also suggest that money may be perceived by individuals as a perceptual drug and new money theories have been developed aiming to explain the monetization of societies. By developing a computational model based on the previous dynamics for hierarchy emergence, we sought to simulate those phenomena using cognitive representations of economic networks containing information about the exchangeability of any two commodities. Similar mathematical frameworks have been used before, but no discussion about the effects of the social network configuration was presented. The model developed in this dissertation is capable of employing the concept of cognitive representations and of assigning them costs as part of the dynamics. The new dynamics is capable of analyzing how the information exchange depends on the social structure. Our results show that centralized networks, such as star or scale-free structures, yield a higher probability of money emergence. The two models suggest, when observe together, that phase transitions in social organization might be essential factors for the money emergency phenomena, and thus cannot be ignored in future social and economical modeling. / Nesta dissertação, utilizamos ferramentas de mecânica estatística e de teoria de informação para aplicações em tópicos significativos ás areas de antropologia, ciências sociais e economia. Buscamos desenvolver modelos matemáticos e computacionais com bases empíricas e teóricas para identificar pontos importantes nas questões referentes à transição entre sociedades igualitárias e hierárquicas e à emergência de dinheiro em sociedades humanas. Dados antropológicos sugerem que há correlação entre o tamanho relativo do neocórtex e o tamanho médio de grupos de primatas, predominantemente hierárquicos, enquanto teorias recentes sugerem que pressões sociais e evolutivas alteraram a capacidade cognitiva dos indivíduos, possibilitando sua organização social em outras configurações. Com base nestas observações, desenvolvemos um modelo matemático capaz de incorporar hipóteses de custos cognitivos de representações sociais para explicar a variação de estruturas sociais encontradas em sociedades humanas. Uma dinâmica de Monte Carlo permite a construção de um diagrama de fase, no qual é possivel identificar regiões hierárquicas, igualitárias e intermediárias. Os parâmetros responsáveis pelas transições são a capacidade cognitiva, o número de agentes na sociedade e a pressão social e ecológica. O modelo também permitiu uma modificação da dinâmica, de modo a incluir um parâmetro representando a taxa de troca de informação entre os agentes, o que possibilita a introdução de correlações entre as representações cognitivas, sugerindo assim o aparecimento de assimetrias sociais, que, por fim, resultam em hierarquia. Os resultados obtidos concordam qualitativamente com dados antropológicos, quando as variáveis são interpretadas de acordo com seus equivalentes sociais. O outro modelo desenvolvido neste trabalho diz respeito ao aparecimento de uma mercadoria única de troca, ou dinheiro. Teorias econômicas predominantes descrevem o aparecimento do dinheiro como resultado de uma evolução de economias de escambo (barter). Críticas, entretanto, alertam para a falta de evidências históricas e antropológicas que corroborem esta hipótese, gerando dúvidas sobre os mecanismos que levaram ao advento do dinheiro e a influência da configuração social neste processo. Estudos recentes sugerem que o dinheiro pode se comportar como uma droga perceptual, o que tem levado a novas teorias que objetivam explicar a monetarização de sociedades. Através de um modelo computacional baseado na dinâmica anterior de emergência de hierarquia, buscamos simular este fenômeno através de representações cognitivas de redes econômicas, que representam o reconhecimento ou não da possibilidade de troca entre duas commodities. Formalismos semelhantes já foram utilizados anteriormente, porém sem discutir a influência da configuração social nos resultados. O modelo desenvolvido nesta dissertação foi capaz de empregar o conceito de representações cognitivas e novamente atribuir custos a elas. A nova dinâmica resultante é capaz de analisar como a troca de informações depende da configuração social dos agentes. Os resultados mostram que redes hierárquicas, como estrela e redes livres de escala, induzem uma maior probabilidade de emergência de dinheiro dos que as demais. Os dois modelos sugerem, quando considerados em conjunto, que transições de fase na organização social são importantes para o estudo de emergência de dinheiro, e portanto não podem ser ignoradas em futuras modelagens sociais e econômicas.

This dissertation explores some applications of statistical mechanics and information theory tools to topics of interest in anthropology, social sciences, and economics. We intended to develop mathematical and computational models with empirical and theoretical bases aiming to identify important features of two problems: the transitions between egalitarian and hierarchical societies and the emergence of money in human societies. Anthropological data suggest the existence of a correlation between the relative neocortex size and the average size of primates\' groups, most of which are hierarchical. Recent theories also suggest that social and evolutionary pressures are responsible for modications in the cognitive capacity of the individuals, what might have made possible the emergence of different types of social organization. Based on those observations, we studied a mathematical model that incorporates the hypothesis of cognitive costs, attributed for each cognitive social representation, to explain the variety of social structures in which humans may organize themselves. A Monte Carlo dynamics allows for the plotting of a phase diagram containing hierarchical, egalitarian, and intermediary regions. There are roughly three parameters responsible for that behavior: the cognitive capacity, the number of agents in the society, and the social and environmental pressure. The model also introduces a modication in the dynamics to account for a parameter representing the information exchange rate, which induces the correlations amongst the cognitive representations. Those correlations ultimately lead to the phase transition to a hierarchical society. Our results qualitatively agree with anthropological data if the variables are interpreted as their social equivalents. The other model developed during this work tries to give insights into the problem of emergence of a unique medium of exchange, also called money. Predominant economical theories, describe the emergence of money as the result of barter economies evolution. However, criticism recently shed light on the lack of historical and anthropological evidence to corroborate the barter hypothesis, thus bringing out doubts about the mechanisms leading to money emergence and questions regarding the inuence of the social configuration. Recent studies also suggest that money may be perceived by individuals as a perceptual drug and new money theories have been developed aiming to explain the monetization of societies. By developing a computational model based on the previous dynamics for hierarchy emergence, we sought to simulate those phenomena using cognitive representations of economic networks containing information about the exchangeability of any two commodities. Similar mathematical frameworks have been used before, but no discussion about the effects of the social network configuration was presented. The model developed in this dissertation is capable of employing the concept of cognitive representations and of assigning them costs as part of the dynamics. The new dynamics is capable of analyzing how the information exchange depends on the social structure. Our results show that centralized networks, such as star or scale-free structures, yield a higher probability of money emergence. The two models suggest, when observe together, that phase transitions in social organization might be essential factors for the money emergency phenomena, and thus cannot be ignored in future social and economical modeling. / Nesta dissertação, utilizamos ferramentas de mecânica estatística e de teoria de informação para aplicações em tópicos significativos ás areas de antropologia, ciências sociais e economia. Buscamos desenvolver modelos matemáticos e computacionais com bases empíricas e teóricas para identificar pontos importantes nas questões referentes à transição entre sociedades igualitárias e hierárquicas e à emergência de dinheiro em sociedades humanas. Dados antropológicos sugerem que há correlação entre o tamanho relativo do neocórtex e o tamanho médio de grupos de primatas, predominantemente hierárquicos, enquanto teorias recentes sugerem que pressões sociais e evolutivas alteraram a capacidade cognitiva dos indivíduos, possibilitando sua organização social em outras configurações. Com base nestas observações, desenvolvemos um modelo matemático capaz de incorporar hipóteses de custos cognitivos de representações sociais para explicar a variação de estruturas sociais encontradas em sociedades humanas. Uma dinâmica de Monte Carlo permite a construção de um diagrama de fase, no qual é possivel identificar regiões hierárquicas, igualitárias e intermediárias. Os parâmetros responsáveis pelas transições são a capacidade cognitiva, o número de agentes na sociedade e a pressão social e ecológica. O modelo também permitiu uma modificação da dinâmica, de modo a incluir um parâmetro representando a taxa de troca de informação entre os agentes, o que possibilita a introdução de correlações entre as representações cognitivas, sugerindo assim o aparecimento de assimetrias sociais, que, por fim, resultam em hierarquia. Os resultados obtidos concordam qualitativamente com dados antropológicos, quando as variáveis são interpretadas de acordo com seus equivalentes sociais. O outro modelo desenvolvido neste trabalho diz respeito ao aparecimento de uma mercadoria única de troca, ou dinheiro. Teorias econômicas predominantes descrevem o aparecimento do dinheiro como resultado de uma evolução de economias de escambo (barter). Críticas, entretanto, alertam para a falta de evidências históricas e antropológicas que corroborem esta hipótese, gerando dúvidas sobre os mecanismos que levaram ao advento do dinheiro e a influência da configuração social neste processo. Estudos recentes sugerem que o dinheiro pode se comportar como uma droga perceptual, o que tem levado a novas teorias que objetivam explicar a monetarização de sociedades. Através de um modelo computacional baseado na dinâmica anterior de emergência de hierarquia, buscamos simular este fenômeno através de representações cognitivas de redes econômicas, que representam o reconhecimento ou não da possibilidade de troca entre duas commodities. Formalismos semelhantes já foram utilizados anteriormente, porém sem discutir a influência da configuração social nos resultados. O modelo desenvolvido nesta dissertação foi capaz de empregar o conceito de representações cognitivas e novamente atribuir custos a elas. A nova dinâmica resultante é capaz de analisar como a troca de informações depende da configuração social dos agentes. Os resultados mostram que redes hierárquicas, como estrela e redes livres de escala, induzem uma maior probabilidade de emergência de dinheiro dos que as demais. Os dois modelos sugerem, quando considerados em conjunto, que transições de fase na organização social são importantes para o estudo de emergência de dinheiro, e portanto não podem ser ignoradas em futuras modelagens sociais e econômicas.

In this thesis we prove several results on the structure of solutions to optimal transportation problems. The second chapter represents joint work with Robert McCann and Micah Warren; the main result is that, under a non-degeneracy condition on the cost function, the optimal is concentrated on a $n$-dimensional Lipschitz submanifold of the product space. As a consequence, we provide a simple, new proof that the optimal map satisfies a Jacobian equation almost everywhere. In the third chapter, we prove an analogous result for the multi-marginal optimal transportation problem; in this context, the dimension of the support of the solution depends on the signatures of a $2^{m-1}$ vertex convex polytope of semi-Riemannian metrics on the product space, induce by the cost function. In the fourth chapter, we identify sufficient conditions under which the solution to the multi-marginal problem is concentrated on the graph of a function over one of the marginals. In the fifth chapter, we investigate the regularity of the optimal map when the dimensions of the two spaces fail to coincide. We prove that a regularity theory can be developed only for very special cost functions, in which case a quotient construction can be used to reduce the problem to an optimal transport problem between spaces of equal dimension. The final chapter applies the results of chapter 5 to the principal-agent problem in mathematical economics when the space of types and the space of available goods differ. When the dimension of the space of types exceeds the dimension of the space of goods, we show if the problem can be formulated as a maximization over a convex set, a quotient procedure can reduce the problem to one where the two dimensions coincide. Analogous conditions are investigated when the dimension of the space of goods exceeds that of the space of types.

In this thesis we prove several results on the structure of solutions to optimal transportation problems. The second chapter represents joint work with Robert McCann and Micah Warren; the main result is that, under a non-degeneracy condition on the cost function, the optimal is concentrated on a $n$-dimensional Lipschitz submanifold of the product space. As a consequence, we provide a simple, new proof that the optimal map satisfies a Jacobian equation almost everywhere. In the third chapter, we prove an analogous result for the multi-marginal optimal transportation problem; in this context, the dimension of the support of the solution depends on the signatures of a $2^{m-1}$ vertex convex polytope of semi-Riemannian metrics on the product space, induce by the cost function. In the fourth chapter, we identify sufficient conditions under which the solution to the multi-marginal problem is concentrated on the graph of a function over one of the marginals. In the fifth chapter, we investigate the regularity of the optimal map when the dimensions of the two spaces fail to coincide. We prove that a regularity theory can be developed only for very special cost functions, in which case a quotient construction can be used to reduce the problem to an optimal transport problem between spaces of equal dimension. The final chapter applies the results of chapter 5 to the principal-agent problem in mathematical economics when the space of types and the space of available goods differ. When the dimension of the space of types exceeds the dimension of the space of goods, we show if the problem can be formulated as a maximization over a convex set, a quotient procedure can reduce the problem to one where the two dimensions coincide. Analogous conditions are investigated when the dimension of the space of goods exceeds that of the space of types.

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