Stochastic Economic Dynamics Bjarne S. Jensen

ISBN: 9788763001854

Published: September 14th 2007

Paperback

438 pages


Description

Stochastic Economic Dynamics  by  Bjarne S. Jensen

Stochastic Economic Dynamics by Bjarne S. Jensen
September 14th 2007 | Paperback | PDF, EPUB, FB2, DjVu, talking book, mp3, RTF | 438 pages | ISBN: 9788763001854 | 10.65 Mb

This book analyzes stochastic dynamic systems across a broad spectrum in economics and finance. The major unifying theme is the coherent and rigorous treatment of uncertainty and its implications for describing stochastic processes by the stochasticMoreThis book analyzes stochastic dynamic systems across a broad spectrum in 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- and 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.

The works collected in this book serves to bridge the old deterministic dynamics and the new stochastic dynamics. The collection is important for scholars and advanced graduate students of economics, statistics, and applied mathematics.



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