Dynamic probabilistic models and social structure. Essays on socioeconomic continuity (Q1189572)

The main aim of this book is to present and develop methods of stochastic analysis, control theory, the theory of systems and learning theory ``to understand mechanisms governing the phenomenon of labour-surplus and the subsequent formation of a structure of dual type'' as occurring in economies linking ``peripheral components'' (typically ``third world countries'') and ``centre components'' (typically ``western developed capitalistic countries''). The understanding of these mechanisms is linked with the elaboration of socioeconomical policies aimed at bringing about a better global economic development, permitting the elimination of the urgent problems of under development. The author's emphasis is on stochastic methods, since ``the more dynamic becomes a model and the closer it approaches reality, the greater the need of using stochastic tools''. The author stresses particularly stochastic analytic methods based on semimartingales, the jump component appearing naturally in the modelling of ponctual inputs in the economy and the diffusion component modelling other internal and external uncertainties. He also puts in evidence the eminent role control techniques can play. In fact the author presents a spectrum of methods of modern stochastic analysis and shows in an original and passionate way how they can be used in the modelling of economic and social processes, stressing however that ``the mathematical objectives will remain subordinated to those of economics''. All the steps in the modelization process are very well discussed and motivated. The book is divided into three parts. In Part I the framework for the analysis of the socioeconomic processes considered is presented. The author shortly analyzes ``available theories of political economy'' and develops its own theoretical tools to be used in Part II. In Chapter 1 the basic mathematical tools needed in the book are shortly introduced and motivated in terms of the economic analysis and theory presented by the author. In Chapter 2 a brief account of the most basic economic concepts used in the book is given. In Chapter 3 aspects of the dynamics of socioeconomic systems are described ``with the aim of explaining essential links between change and time affecting the systems as a whole and the interplay of processes underpinning its own reproduction in the course of time''. Part II presents the mathematical study of certain economical models. It is partly based on original results by the author and contains also many new results. It consists of Chapters 4 to 6. In Chapter 4 methods of stochastic analysis, in particular stopping times techniques, are used to describe a model for a development policy. In 4.1 a basic stochastic model of capital accumulation is presented, with an original interpretation of the equation for economic growth. Stopping techniques are introduced in 4.2. In partcular in this subsection the connection with a generalized Stefan's problem and martingale theory is given. Stopping times associated with planning are introduced in 4.3. Ideas of stopping control and stochastic waves are discussed in 4.4. A subjective rate of discount is also derived using microeconomic analysis. Chapter 5 discusses an economic policy ``which leads over a relatively long period of time to the elimination of labour-surplus''. The system dynamics is described by stochastic differential equations of diffusion type, and methods of stochastic optimization (5.1) and stochastic control (5.2) theory are used to show that a given labour-surplus can be eliminated. Various issues of accumulation are discussed, in particular a technique of Margling-Pontryagin is presented. 5.3 discusses a semimartingale principle of optimality. In Chapter 6 a design of an economic policy is presented, having on one hand an objective of accumulation and, on the other hand, one of pursuing a given employment target. A stochastic maximum principle is shown to permit the eventual absorption of surplus- labour into production. Part III ``has the character of an appendix'' in which ``basic concepts of the theory of systems and (deterministic) optimal control, stochastic analysis, and control of random systems'' are briefly introduced. In the same way as the preceding parts, it consists of 3 chapters. Chapter 7 discusses mainly methodological, epistemological and philosophical questions of systems theory and its relations with model building. Section 7.4 presents mathematical essentials of deterministic control theory. Chapter 8 presents elements of semimartingale theory and stochastic integration, ``with two purposes in mind: First to make easily available notions we have used in the present essays and second to improve the ability of non-probabilistic trained readers to interpret and understand real-world phenomena dominated by the presentation of uncertainty''. This is a compact, very nice presentation following basic modern references like the books by \textit{D. Revuz} and \textit{M. Yor} [Continuous martingales and Brownian motion (1991; Zbl 0731.60002)], \textit{J. Jacod} and \textit{A. N. Shiryaev} [Limit theorems for stochastic processes (1987; Zbl 0635.60021)], \textit{Ph. Protter} [Stochastic integration and differential equations. A new approach (1990; Zbl 0694.60047)], and the book on martingales by \textit{C. Dellacherie} and \textit{P.-A. Meyer} [Probabilités et potentiel. Chapitres V à VIII: Théorie des martingales (1980; Zbl 0464.60001)], and including such topics as Girsanov's transformations for semimartingales and stochastic differential equation driven by semimartingales. This chapter closes with a compact course in stochastic calculus of Itô's type. A minicourse on stochastic control theory is the subject of Chapter 9. As in previous chapters all results are formulated in the general framework of semimartingale theory. The author manages to present in few pages all basic results, including Bellman's principle of optimality. In conclusion: The book is a very original attempt to present and use modern advanced tools of stochastic analysis, control theory, learning theory and systems theory to construct and study certain models of development economy and design socioeconomic ``policies capable to bring about a deliberate and purposeful change'', directed to achieve a better global economic development. The author's enthusiastic ``engagement'' for this cause gives a special character to the book, which makes an exciting reading experience. The book should prove to be most valuable and stimulating for all mathematicians and scientists who would like to find, develop and apply appropriate mathematical methods to try to tackle ``real world problems'' in social and economic sciences.