Art of Smooth Pasting
Autor A. Dixiten Limba Engleză Hardback – 6 dec 2001
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.
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Specificații
ISBN-13: 9780415269377
ISBN-10: 0415269377
Pagini: 88
Dimensiuni: 138 x 216 x 12 mm
Greutate: 0.32 kg
Ediția:1
Editura: Taylor & Francis
Colecția Routledge
Locul publicării:Oxford, United Kingdom
ISBN-10: 0415269377
Pagini: 88
Dimensiuni: 138 x 216 x 12 mm
Greutate: 0.32 kg
Ediția:1
Editura: Taylor & Francis
Colecția Routledge
Locul publicării:Oxford, United Kingdom
Public țintă
PostgraduateCuprins
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;
Descriere
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.