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Stochastic Economic Dynamics

The authors analyze 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...

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The authors analyze 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
Publisher: CBS Press
Language: Engelsk
Illustrated: Yes
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Buy the book

Bog (Softcover)
1. Edition (2007), 
438 pages
Price
200,-
ISBN 9788763001854
E-bog (VitalSource Bookshelf)
1. Edition (2007), 
438 pages
Price
256,-
ISBN 9788763099820

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