ANOTHER METHOD FOR SOLVING THE PROBLEM OF STOCHASTIC-PROCESS SWITCHING

被引：1

作者：

ELBABSIRI, M

机构：

[1] Caisse Autonome de Refinancement, CREST

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1994年 / 18卷 / 02期

关键词：

ABSORBING BARRIERS; GIRSANOV THEOREM; EXCHANGE RATE;

D O I：

10.1016/0165-1889(94)90012-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This note applies techniques of absorbing Brownian motion with drift to derive solutions for a large class of regime-switching problems, including the one posed by Flood and Garber (1983). We generalize the solution of one absorbing barrier problem proposed by Smith (1991) and we give an alternative to the techniques of regulated Brownian motion used by Froot and Obstfeld (1991).

引用

页码：345 / 352

页数：8

共 50 条

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