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Stochastic economic dynamics [[electronic resource] /] / Bjarne S. Jensen & Tapio Palokangas (editors)
| Stochastic economic dynamics [[electronic resource] /] / Bjarne S. Jensen & Tapio Palokangas (editors) |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | [Copenhagen?], : Copenhagen Business School Press |
| Descrizione fisica | 438 p. : ill |
| Disciplina | 519.2/3 |
| Altri autori (Persone) |
JensenBjarne S
PalokangasTapio |
| Soggetto topico |
Stochastic processes
Statics and dynamics (Social sciences) |
| Soggetto genere / forma | Electronic books. |
| ISBN | 87-630-9982-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910459616003321 |
| [Copenhagen?], : Copenhagen Business School Press | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic economic dynamics [[electronic resource] /] / Bjarne S. Jensen & Tapio Palokangas (editors)
| Stochastic economic dynamics [[electronic resource] /] / Bjarne S. Jensen & Tapio Palokangas (editors) |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | [Copenhagen?], : Copenhagen Business School Press |
| Descrizione fisica | 438 p. : ill |
| Disciplina | 519.2/3 |
| Altri autori (Persone) |
JensenBjarne S
PalokangasTapio |
| Soggetto topico |
Stochastic processes
Statics and dynamics (Social sciences) |
| ISBN | 87-630-9982-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910785429703321 |
| [Copenhagen?], : Copenhagen Business School Press | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic economic dynamics [[electronic resource] /] / Bjarne S. Jensen & Tapio Palokangas (editors)
| Stochastic economic dynamics [[electronic resource] /] / Bjarne S. Jensen & Tapio Palokangas (editors) |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | [Copenhagen?], : Copenhagen Business School Press |
| Descrizione fisica | 438 p. : ill |
| Disciplina | 519.2/3 |
| Altri autori (Persone) |
JensenBjarne S
PalokangasTapio |
| Soggetto topico |
Stochastic processes
Statics and dynamics (Social sciences) |
| ISBN | 87-630-9982-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 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 Schr¨odinger's wave theory and dynamic theory -- 4.9 Sample paths of motion governed by theSchr¨odinger 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.
5.6 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. 12. 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. |
| Record Nr. | UNINA-9910823629003321 |
| [Copenhagen?], : Copenhagen Business School Press | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for boundary value problems : numerics for high-dimensional PDEs and applications / / Karl K. Sabelfeld, Nikolai A. Simonov
| Stochastic methods for boundary value problems : numerics for high-dimensional PDEs and applications / / Karl K. Sabelfeld, Nikolai A. Simonov |
| Autore | Sabelfeld K. K (Karl Karlovich) |
| Pubbl/distr/stampa | Berlin, [Germany] ; ; Boston, [Massachusetts] : , : De Gruyter, , 2016 |
| Descrizione fisica | 1 online resource (x, 198 pages) : colour illustrations |
| Disciplina | 519.2/3 |
| Soggetto topico |
Boundary value problems - Numerical solutions
Stochastic analysis Random walks (Mathematics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
3-11-047916-8
3-11-047945-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Preface -- Contents -- 1. Introduction -- 2. Random walk algorithms for solving integral equations -- 3. Random walk-on-boundary algorithms for the Laplace equation -- 4. Walk-on-boundary algorithms for the heat equation -- 5. Spatial problems of elasticity -- 6. Variants of the random walk on boundary for solving stationary potential problems -- 7. Splitting and survival probabilities in random walk methods and applications -- 8. A random WOS-based KMC method for electron-hole recombinations -- 9. Monte Carlo methods for computing macromolecules properties and solving related problems -- Bibliography |
| Record Nr. | UNINA-9910467851603321 |
Sabelfeld K. K (Karl Karlovich)
|
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| Berlin, [Germany] ; ; Boston, [Massachusetts] : , : De Gruyter, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for boundary value problems : numerics for high-dimensional PDEs and applications / / Karl K. Sabelfeld, Nikolai A. Simonov
| Stochastic methods for boundary value problems : numerics for high-dimensional PDEs and applications / / Karl K. Sabelfeld, Nikolai A. Simonov |
| Autore | Sabelfeld K. K (Karl Karlovich) |
| Pubbl/distr/stampa | Berlin, [Germany] ; ; Boston, [Massachusetts] : , : De Gruyter, , 2016 |
| Descrizione fisica | 1 online resource (x, 198 pages) : colour illustrations |
| Disciplina | 519.2/3 |
| Soggetto topico |
Boundary value problems - Numerical solutions
Stochastic analysis Random walks (Mathematics) |
| ISBN |
3-11-047916-8
3-11-047945-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Preface -- Contents -- 1. Introduction -- 2. Random walk algorithms for solving integral equations -- 3. Random walk-on-boundary algorithms for the Laplace equation -- 4. Walk-on-boundary algorithms for the heat equation -- 5. Spatial problems of elasticity -- 6. Variants of the random walk on boundary for solving stationary potential problems -- 7. Splitting and survival probabilities in random walk methods and applications -- 8. A random WOS-based KMC method for electron-hole recombinations -- 9. Monte Carlo methods for computing macromolecules properties and solving related problems -- Bibliography |
| Record Nr. | UNINA-9910796663103321 |
|
Sabelfeld K. K (Karl Karlovich)
|
||
| Berlin, [Germany] ; ; Boston, [Massachusetts] : , : De Gruyter, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic methods for boundary value problems : numerics for high-dimensional PDEs and applications / / Karl K. Sabelfeld, Nikolai A. Simonov
| Stochastic methods for boundary value problems : numerics for high-dimensional PDEs and applications / / Karl K. Sabelfeld, Nikolai A. Simonov |
| Autore | Sabelfeld K. K (Karl Karlovich) |
| Pubbl/distr/stampa | Berlin, [Germany] ; ; Boston, [Massachusetts] : , : De Gruyter, , 2016 |
| Descrizione fisica | 1 online resource (x, 198 pages) : colour illustrations |
| Disciplina | 519.2/3 |
| Soggetto topico |
Boundary value problems - Numerical solutions
Stochastic analysis Random walks (Mathematics) |
| ISBN |
3-11-047916-8
3-11-047945-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Preface -- Contents -- 1. Introduction -- 2. Random walk algorithms for solving integral equations -- 3. Random walk-on-boundary algorithms for the Laplace equation -- 4. Walk-on-boundary algorithms for the heat equation -- 5. Spatial problems of elasticity -- 6. Variants of the random walk on boundary for solving stationary potential problems -- 7. Splitting and survival probabilities in random walk methods and applications -- 8. A random WOS-based KMC method for electron-hole recombinations -- 9. Monte Carlo methods for computing macromolecules properties and solving related problems -- Bibliography |
| Record Nr. | UNINA-9910813326903321 |
|
Sabelfeld K. K (Karl Karlovich)
|
||
| Berlin, [Germany] ; ; Boston, [Massachusetts] : , : De Gruyter, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes [[electronic resource] ] : selected papers of Hiroshi Tanaka / / edited by Makoto Maejima, Tokuzo Shiga
| Stochastic processes [[electronic resource] ] : selected papers of Hiroshi Tanaka / / edited by Makoto Maejima, Tokuzo Shiga |
| Autore | Tanaka Hiroshi |
| Pubbl/distr/stampa | River Edge, N.J., : World Scientific, c2002 |
| Descrizione fisica | 1 online resource (xi, 430 p. ) : port |
| Disciplina | 519.2/3 |
| Altri autori (Persone) |
MaejimaMakoto
ShigaTokuzo |
| Soggetto topico | Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN | 981-277-855-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Stochastic Differential Equations with Reflecting Boundary Condition in Convex Regions -- Some Probabilistic Problems in the Spatially Homogeneous Boltzmann Equation -- Limit Theorems for Certain Diffusion Processes with Interaction -- Central Limit Theorem for a System of Markovian Particles with Mean Field Interactions (with T. Shiga) -- Propagation of Chaos for Diffusing Particles of Two Types with Singular Mean Field Interaction (with M. Nagasawa) -- Stochastic Differential Equations for Mutually Reflecting Brownian Balls (with Y. Saisho) -- Limit Distribution for 1-Dimensional Diffusion in a Reflected Brownian Medium -- Limit Distributions for One-Dimensional Diffusion Processes in Self-Similar Random Environments -- Stochastic Differential Equation Corresponding to the Spatially Homogeneous Boltzmann Equation of Maxwellian and Non-Cutoff Type -- Limit Theorem for One-Dimensional Diffusion Process in Brownian Environment -- On the Maximum of a Diffusion Process in a Drifted Brownian Environment (with K. Kawazu) -- Recurrence of a Diffusion Process in a Multidimensional Brownian Environment -- Localization of a Diffusion Process in a One-Dimensional Brownian Environment -- Diffusion Processes in Random Environments -- Environment-Wise Central Limit Theorem for a Diffusion in a Brownian Environment with Large Drift -- A Diffusion Process in a Brownian Environment with Drift (with K. Kawazu) -- Limit Theorems for a Brownian Motion with Drift in a White Noise Environment -- Invariance Principle for a Brownian Motion with Large Drift in a -- White Noise Environment (with K. Kawazu) -- Some Theorems Concerning Extrema of Brownian Motion with d-Dimensional Time. |
| Record Nr. | UNINA-9910450785803321 |
|
Tanaka Hiroshi
|
||
| River Edge, N.J., : World Scientific, c2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes [[electronic resource] ] : selected papers of Hiroshi Tanaka / / edited by Makoto Maejima, Tokuzo Shiga
| Stochastic processes [[electronic resource] ] : selected papers of Hiroshi Tanaka / / edited by Makoto Maejima, Tokuzo Shiga |
| Autore | Tanaka Hiroshi |
| Pubbl/distr/stampa | River Edge, N.J., : World Scientific, c2002 |
| Descrizione fisica | 1 online resource (xi, 430 p. ) : port |
| Disciplina | 519.2/3 |
| Altri autori (Persone) |
MaejimaMakoto
ShigaTokuzo |
| Soggetto topico | Stochastic processes |
| ISBN | 981-277-855-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Stochastic Differential Equations with Reflecting Boundary Condition in Convex Regions -- Some Probabilistic Problems in the Spatially Homogeneous Boltzmann Equation -- Limit Theorems for Certain Diffusion Processes with Interaction -- Central Limit Theorem for a System of Markovian Particles with Mean Field Interactions (with T. Shiga) -- Propagation of Chaos for Diffusing Particles of Two Types with Singular Mean Field Interaction (with M. Nagasawa) -- Stochastic Differential Equations for Mutually Reflecting Brownian Balls (with Y. Saisho) -- Limit Distribution for 1-Dimensional Diffusion in a Reflected Brownian Medium -- Limit Distributions for One-Dimensional Diffusion Processes in Self-Similar Random Environments -- Stochastic Differential Equation Corresponding to the Spatially Homogeneous Boltzmann Equation of Maxwellian and Non-Cutoff Type -- Limit Theorem for One-Dimensional Diffusion Process in Brownian Environment -- On the Maximum of a Diffusion Process in a Drifted Brownian Environment (with K. Kawazu) -- Recurrence of a Diffusion Process in a Multidimensional Brownian Environment -- Localization of a Diffusion Process in a One-Dimensional Brownian Environment -- Diffusion Processes in Random Environments -- Environment-Wise Central Limit Theorem for a Diffusion in a Brownian Environment with Large Drift -- A Diffusion Process in a Brownian Environment with Drift (with K. Kawazu) -- Limit Theorems for a Brownian Motion with Drift in a White Noise Environment -- Invariance Principle for a Brownian Motion with Large Drift in a -- White Noise Environment (with K. Kawazu) -- Some Theorems Concerning Extrema of Brownian Motion with d-Dimensional Time. |
| Record Nr. | UNINA-9910784996503321 |
|
Tanaka Hiroshi
|
||
| River Edge, N.J., : World Scientific, c2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic processes [[electronic resource] ] : selected papers of Hiroshi Tanaka / / edited by Makoto Maejima, Tokuzo Shiga
| Stochastic processes [[electronic resource] ] : selected papers of Hiroshi Tanaka / / edited by Makoto Maejima, Tokuzo Shiga |
| Autore | Tanaka Hiroshi |
| Pubbl/distr/stampa | River Edge, N.J., : World Scientific, c2002 |
| Descrizione fisica | 1 online resource (xi, 430 p. ) : port |
| Disciplina | 519.2/3 |
| Altri autori (Persone) |
MaejimaMakoto
ShigaTokuzo |
| Soggetto topico | Stochastic processes |
| ISBN | 981-277-855-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Stochastic Differential Equations with Reflecting Boundary Condition in Convex Regions -- Some Probabilistic Problems in the Spatially Homogeneous Boltzmann Equation -- Limit Theorems for Certain Diffusion Processes with Interaction -- Central Limit Theorem for a System of Markovian Particles with Mean Field Interactions (with T. Shiga) -- Propagation of Chaos for Diffusing Particles of Two Types with Singular Mean Field Interaction (with M. Nagasawa) -- Stochastic Differential Equations for Mutually Reflecting Brownian Balls (with Y. Saisho) -- Limit Distribution for 1-Dimensional Diffusion in a Reflected Brownian Medium -- Limit Distributions for One-Dimensional Diffusion Processes in Self-Similar Random Environments -- Stochastic Differential Equation Corresponding to the Spatially Homogeneous Boltzmann Equation of Maxwellian and Non-Cutoff Type -- Limit Theorem for One-Dimensional Diffusion Process in Brownian Environment -- On the Maximum of a Diffusion Process in a Drifted Brownian Environment (with K. Kawazu) -- Recurrence of a Diffusion Process in a Multidimensional Brownian Environment -- Localization of a Diffusion Process in a One-Dimensional Brownian Environment -- Diffusion Processes in Random Environments -- Environment-Wise Central Limit Theorem for a Diffusion in a Brownian Environment with Large Drift -- A Diffusion Process in a Brownian Environment with Drift (with K. Kawazu) -- Limit Theorems for a Brownian Motion with Drift in a White Noise Environment -- Invariance Principle for a Brownian Motion with Large Drift in a -- White Noise Environment (with K. Kawazu) -- Some Theorems Concerning Extrema of Brownian Motion with d-Dimensional Time. |
| Record Nr. | UNINA-9910824496603321 |
|
Tanaka Hiroshi
|
||
| River Edge, N.J., : World Scientific, c2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard
| Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, c2005 |
| Descrizione fisica | 1 online resource (534 p.) |
| Disciplina | 519.2/3 |
| Altri autori (Persone) | ShephardNeil |
| Collana | Advanced texts in econometrics |
| Soggetto topico |
Stochastic processes
Finance - Mathematical models Money market - Mathematical models Capital market - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-19-153142-1
1-280-84576-7 1-4294-6936-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Model building -- pt. 2. Inference -- pt. 3. Option pricing -- pt. 4. Realised variation. |
| Record Nr. | UNINA-9910452311203321 |
| Oxford ; ; New York, : Oxford University Press, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
