LEADER 06119nam 2200553Ia 450 001 9910823629003321 005 20240417030429.0 010 $a87-630-9982-9 035 $a(CKB)2670000000066481 035 $a(SSID)ssj0000519944 035 $a(PQKBManifestationID)11335752 035 $a(PQKBTitleCode)TC0000519944 035 $a(PQKBWorkID)10507578 035 $a(PQKB)10887584 035 $a(MiAaPQ)EBC3400791 035 $a(Au-PeEL)EBL3400791 035 $a(CaPaEBR)ebr10465553 035 $a(OCoLC)769114323 035 $a(EXLCZ)992670000000066481 100 $a20080211d2007 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 00$aStochastic economic dynamics$b[electronic resource] /$fBjarne S. Jensen & Tapio Palokangas (editors) 205 $a1st ed. 210 $a[Copenhagen?] $cCopenhagen Business School Press ;$aPortland, OR $cInternational Specialized Book Services [distributor]$dc2007 215 $a438 p. $cill 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a87-630-0185-3 320 $aIncludes bibliographical references. 327 $aStochastic 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 functions -- 2.7 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 equation -- 4.6 Exponent of motion and initial condition -- 4.7 Examples -- 4.8 Schršodinger's wave theory and dynamic theory -- 4.9 Sample paths of motion governed by theSchršodinger equation -- 4.10 Interference phenomena and entangled motion -- Part II: Stochastic Dynamics of BasicGrowth 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 technologies. 327 $a5.6 Sample paths and asymptotic densities with CD andCES 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 delays -- 7.3 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 -- 9. Optimal Consumption and Investment Strategiesin Dynamic Stochastic Economies -- 9.1 Introduction -- 9.2 Consumption and investment in complete markets -- 9.3 Results for CRRA utility in general markets -- 9.4 Examples -- 9.5 Extensions -- 9.6 Concluding remarks -- Appendix -- 10. Differential Systems in Finance and Life Insurance -- 10.1 Introduction -- 10.2 The differential equations of Thiele and Black-Scholes -- 10.3 Surplus and dividends -- 10.4 Intervention -- 10.5 Quadratic optimization -- 10.6 Utility optimization -- 11. Uncertain Technological Change and Capital Mobility -- 11.1 Introduction -- 11.2 Framework of the model -- 11.3 The effect of uncertainty on growth -- 11.4 Conclusion -- Appendices. 327 $a12. Stochastic Control, Non-Depletion of Renewable Resources, and Intertemporal Substitution -- 12.1 Introduction -- 12.2 The preferences -- 12.3 The optimal control problem -- 12.4 Non-optimality of immediate total depletion -- 12.5 Concluding remarks -- 13. Capital Accumulation in a Growth Model with Creative Destruction -- 13.1 Introduction -- 13.2 Framework of the model -- 13.3 Solving the model -- 13.4 Cycles and growth -- 13.5 Conclusions -- Appendices -- 14. Employment Cycles in a Growth Model with Creative Destruction -- 14.1 Introduction -- 14.2 Technology -- 14.3 R& -- D and capital accumulation -- 14.4 Capitalists -- 14.5 Wage settlement -- 14.6 Economic growth -- 14.7 Cycles -- 14.8 Conclusions. 606 $aStochastic processes 606 $aStatics and dynamics (Social sciences) 615 0$aStochastic processes. 615 0$aStatics and dynamics (Social sciences) 676 $a519.2/3 701 $aJensen$b Bjarne S$0631548 701 $aPalokangas$b Tapio$01625496 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910823629003321 996 $aStochastic economic dynamics$94059892 997 $aUNINA