A01=A. Dixit
applied probability models
Author_A. Dixit
Basic Differential Equation
brownian
Brownian Limit
Brownian Motion
Category=KCA
Category=PBWL
condition
Confluent Hypergeometric Function
discrete
Discrete Random Walk
Dw
dynamic optimisation
economic decision processes
End Point Conditions
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
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
mathematical finance methods
Menu Cost Model
motion
o2X 2G
Optimal Policy Parameters
Ordinary Differential Equation
random
Random Walk Representation
risk aversion analysis
Smooth Pasting
Smooth Pasting Conditions
stochastic control theory
stochastic regulation in economics
Target Zone Model
Undetermined Constants
Volatility Coefficient
walk
Product details
- ISBN 9783718653843
- Weight: 170g
- Dimensions: 138 x 216mm
- Publication Date: 11 May 1993
- Publisher: Harwood-Academic Publishers
- Publication City/Country: CH
- Product Form: Paperback
Secure
checkout
Fast Shipping
Easy returns
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.
