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

下载

页码：345 / 352

页数：8

共 50 条

[31] METHOD OF ESTIMATING CORRELATION INTERVAL OF A NORMAL STATIONARY STOCHASTIC-PROCESS
VOLKOV, II
MOTOV, VV
AUTOMATION AND REMOTE CONTROL, 1974, 35 (04) : 688 - 689
[32] NON-RECURRENCE OF THE STOCHASTIC-PROCESS FOR THE HYDROGEN-ATOM PROBLEM IN STOCHASTIC ELECTRODYNAMICS
CLAVERIE, P
SOTO, F
JOURNAL OF MATHEMATICAL PHYSICS, 1982, 23 (05) : 753 - 759
[33] DECOMPOSITION OF A SUBADDITIVE STOCHASTIC-PROCESS
DELJUNCO, A
ANNALS OF PROBABILITY, 1977, 5 (02): : 298 - 302
[34] STOCHASTIC-PROCESS OF A FLUCTUATING STRING
HARA, T
TASAKI, H
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1985, 21 (01) : 29 - 30
[35] STOCHASTIC-PROCESS OF SOCIAL CONTACTS
RAINIO, K
SCANDINAVIAN JOURNAL OF PSYCHOLOGY, 1961, 2 (03) : 113 - 128
[36] A MEASURE OF THE UNSTEADINESS OF A STOCHASTIC-PROCESS
PRADLWARTER, HJ
ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK, 1988, 68 (05): : T445 - T447
[37] CONDITIONS THAT A STOCHASTIC-PROCESS BE ERGODIC
PARZEN, E
ANNALS OF MATHEMATICAL STATISTICS, 1957, 28 (04): : 1056 - 1056
[38] DETERMINATION OF A STOCHASTIC-PROCESS BY MEANS OF STOCHASTIC INTEGRALS
RIEDEL, M
THEORY OF PROBABILITY AND ITS APPLICATIONS, 1980, 25 (02) : 335 - 346
[39] THE APPLICATION OF LINEAR INTENSITY MODELS TO THE INVESTIGATION OF CAUSAL RELATIONS BETWEEN A POINT PROCESS AND ANOTHER STOCHASTIC-PROCESS
OGATA, Y
AKAIKE, H
KATSURA, K
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1982, 34 (02) : 373 - 387
[40] EARTHQUAKE RISK PREDICTION AS A STOCHASTIC-PROCESS
KAGAN, Y
KNOPOFF, L
PHYSICS OF THE EARTH AND PLANETARY INTERIORS, 1977, 14 (02) : 97 - 108

← 1 2 3 4 5 →