Stochastic Economic Dynamics af Bjarne S. Jensen E-bog, PDF

Stochastic Economic Dynamics

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This book analyzes stochastic dynamic systems across a broad spectrum of economics and finance. The major unifying theme is the coherent and rigorous treatment of uncertainty and its implications for describing stochastic processes by the stochastic differential equations of the fundamental models in various fields. Pertinent subjects are interrelated, juxtaposed, and examined for consistency in theoretical and empirical contexts. The volume consists of three parts: Developments in Stochastic Dynamics; Stochastic Dynamics in Basic Economic Growth Models; Intertemporal Optimization in Consumption, Finance, and Growth. Key topics include: fractional Brownian motion in finance; moment evolution of Gaussian and geometric Wiener diffusions; stochastic kinematics and stochastic mechanics; stochastic growth in continuous time; time delays and Hopf bifurcation; consumption and investment strategies; differential systems in finance and life insurance; uncertainty of technological innovations; investment and employment cycles; stochastic control theory and risk aversion.


  • Sprog:
  • Engelsk
  • ISBN:
  • 9788763099820
  • Beskyttelse:
  • DRM
  • Udgivet:
  • 22. December 2011

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