Stochastic economic dynamics /
Saved in:
| Online Access: |
Full text (MCPHS users only) |
|---|---|
| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Copenhagen?] : Portland, OR :
Copenhagen Business School Press ; International Specialized Book Services [distributor],
2007
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| Edition: | 1st ed. |
| Subjects: | |
| Local Note: | ProQuest Ebook Central |
Table of Contents:
- Stochastic Economic Dynamics; Table of Contents; Introduction; Part I: Developments in Stochastic Dynamics; 1. Fractional Brownian Motion in Finance; 1.1 Introduction; 1.2 Framework and definitions; 1.3 Classical white noise theory and Hida-Malliavin calculus; 1.4 Fractional stochastic calculus; 1.5 Summary of results; 1.6 Concluding remarks; 2. Moment Evolution of Gaussian and Geometric Wiener Diffusions; 2.1 Introduction; 2.2 Structure of basic diffusion processes; 2.3 Dynamics of first-order and second-order moments; 2.4 Expectation vector functions; 2.5 Covariance matrix functions.
- 2.6 Probability density functions2.7 Final comments; Appendices; 3. Two-Dimensional Linear Dynamic Systems with Small Random Terms; 3.1 Introduction; 3.2 Non-random dynamic system; 3.3 Lyapunov index of the random system; 3.4 One-dimensional diffusion process in an interval; 3.5 Spiral point and center; 3.6 Saddle point; 3.7 Improper and proper node; 4. Dynamic Theory of Stochastic Movement of Systems; 4.1 Dynamic theory of stochastic processes; 4.2 Kinematic theory; 4.3 Sample path equation in kinematic theory; 4.4 Mechanics and the equation of motion.
- 4.5 Evolution function and kinematic equation4.6 Exponent of motion and initial condition; 4.7 Examples; 4.8 Schr odinger's wave theory and dynamic theory; 4.9 Sample paths of motion governed by the Schrodinger equation; 4.10 Interference phenomena and entangled motion; Part II: Stochastic Dynamics of Basic Growth Models and Time Delays; 5. Stochastic One-Sector and Two-Sector Growth Models in Continuous Time; 5.1 Introduction; 5.2 Neoclassical technologies and CES forms; 5.3 Stochastic one-sector growth models; 5.4 Boundaries, steady-state, and convergence.
- 5.5 Explicit steady-state distribution with CD technologies5.6 Sample paths and asymptotic densities with CD and CES technologies; 5.7 General equilibria of two-sector economies; 5.8 Dynamics of two-sector economies; 5.9 Sample paths of two-sector models and CES; 6. Comparative Dynamics in a Stochastic Growth and Trade Model with a Variable Savings Rate; 6.1 Introduction; 6.2 Stochastic dynamic systems for trading economies; 6.3 Comparative dynamics and policy parameters; 7. Inada Conditions and Global Dynamic Analysis of Basic Growth Models with Time Delays; 7.1 Introduction.
- 7.2 Neoclassical growth model with time delays7.3 Dynamics with delays in production and depreciation; 7.4 Persistent oscillation in a growth model with delays; 7.5 Final comments; 8. Hopf Bifurcation in Growth Models with Time Delays; 8.1 Introduction; 8.2 Dynamics of growth and cycles; 8.3 Hopf bifurcation analysis; 8.4 CD technologies and time delays; 8.5 CES technologies and time delays; 8.6 CES and delays with cycles, square waves, and chaos; 8.7 Final comments; Part III: Intertemporal Optimization in Consumption, Finance, and Growth.
