The Art of Smooth Pasting
Seiten
1993
|
1. A.
Taylor and Francis (Verlag)
978-3-7186-5384-3 (ISBN)
Taylor and Francis (Verlag)
978-3-7186-5384-3 (ISBN)
This book aims to widen the understanding of stochastic dynamic choice and equilibrium models. It offers a simplified and heuristic exposition of the theory of Brownian motion and its control or regulation, rendering such methods more accessible to economists who do not require a detailed, mathematical treatment of the subject.
The main mathematical ideas are presented in a context which with which economists will be familiar. Using a binomial approach to Brownian motion, the mathematics is reduced to simple algebra, progressing to some equally simple limits. The starting point of the calculus of Brownian motion - 'Ito's Lemma' - emerges by analogy with the economics of risk-aversion. Conditions for the optimal regulation of Brownian motion, including the important, but often mysterious, 'smooth pasting' condition, are derived in a similar way. Each theoretical derivation is illustrated by developing a significant economic application, drawn mainly from recent research in macroeconomics and international economics.
The main mathematical ideas are presented in a context which with which economists will be familiar. Using a binomial approach to Brownian motion, the mathematics is reduced to simple algebra, progressing to some equally simple limits. The starting point of the calculus of Brownian motion - 'Ito's Lemma' - emerges by analogy with the economics of risk-aversion. Conditions for the optimal regulation of Brownian motion, including the important, but often mysterious, 'smooth pasting' condition, are derived in a similar way. Each theoretical derivation is illustrated by developing a significant economic application, drawn mainly from recent research in macroeconomics and international economics.
part The Art of Smooth Pasting, AVINASH DIXIT; Chapter 1 Brownian Motion; Chapter 2 Discounted Present Values; Chapter 3 Barriers; Chapter 4 Optimal Control and Regulation; Chapter 5 Generalizations; Chapter 6 Some Characterization of Optimal Paths;
| Erscheint lt. Verlag | 11.5.1993 |
|---|---|
| Zusatzinfo | Farb., s/w. Abb. |
| Verlagsort | Chur |
| Sprache | englisch |
| Maße | 138 x 216 mm |
| Gewicht | 136 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Volkswirtschaftslehre | |
| Schlagworte | Basic Differential Equation • brownian • Brownian Limit • Brownian motion • Condition • confluent hypergeometric function • discrete • Discrete Random Walk • DW • End Point Conditions • Exchange Rate Target Zones • Finite Horizon Problems • flow • Flow Cost Function • Geometric • Geometric Brownian motion • impulse control • itos • Lemma • Long Run Average Cost • Lump Sum Component • Lump Sum Cost • Menu Cost Model • Motion • o2X 2G • Optimal Policy Parameters • ordinary differential equation • Random • Random Walk Representation • Smooth pasting • Smooth Pasting Conditions • Target Zone Model • Undetermined Constants • Volatility Coefficient • Walk |
| ISBN-10 | 3-7186-5384-2 / 3718653842 |
| ISBN-13 | 978-3-7186-5384-3 / 9783718653843 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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