The art of smooth pasting
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| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | Undetermined |
| Veröffentlicht: |
Chur
Harwood
1994
|
| Ausgabe: | 2. print. |
| Schriftenreihe: | Fundamentals of pure and applied economics
55 : Stochastic methods in economic analysis section |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
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| 100 | 1 | |a Dixit, Avinash K. |d 1944- |e Verfasser |0 (DE-588)115439617 |4 aut | |
| 245 | 1 | 0 | |a The art of smooth pasting |c Avinash Dixit |
| 250 | |a 2. print. | ||
| 264 | 1 | |a Chur |b Harwood |c 1994 | |
| 300 | |a X, 72 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Fundamentals of pure and applied economics |v 55 : Stochastic methods in economic analysis section | |
| 650 | 4 | |a Brownian motion processes | |
| 650 | 4 | |a Economics, mathematical | |
| 650 | 4 | |a brownsk bevægelse | |
| 650 | 4 | |a stokastiske processer | |
| 650 | 0 | 7 | |a Brownsche Bewegung |0 (DE-588)4128328-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Brownsche Bewegung |0 (DE-588)4128328-4 |D s |
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| 830 | 0 | |a Fundamentals of pure and applied economics |v 55 : Stochastic methods in economic analysis section |w (DE-604)BV000797506 |9 55 | |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-007796157 | |
Datensatz im Suchindex
| DE-BY-UBM_katkey | 2616175 |
|---|---|
| DE-BY-UBM_media_number | 99994041583 99994041582 |
| _version_ | 1823052270047068161 |
| adam_text | Contents
Introduction to the Series vii
Preface ix
1. Brownian Motion 1
1.1. Random Walk Representation 2
1.2. Ito s Lemma 4
1.3. Geometric Brownian Motion 6
1.4. Some Generalizations 8
2. Discounted Present Values 9
— 2.1. Present Values for Exponential and Polynomials 10
2.2. Present Values for Powers of Geometric Brownian
Motion 13
2.3. A Basic Differential Equation for Present Value 14
2.4. Derivation by Discrete Approximation 15
2.5. The General Solution 16
,s 2.6. Differential Equation for Geometric Brownian
Motion 19
2.7. General Diffusion Processes 21
249
IP 3. Barriers 22
3.1. Basic Differential Equation 23
— 3.2. Geometric Brownian Motion 25
3.3. Stopping 25
3.4. Resetting 26
3.5. Reflection 26
3.6. Example: Price Ceiling 27
3.7. Example: Exchange Rate Target Zones 28
3.8. Transitional Boundary 30
3.9. Example: Temporary Suspension 31
4. Optimal Control and Regulation 32
4.1. Stopping 34
4.2. Example: Irreversible Investment 37
V
vi CONTENTS
4.3. Convex Costs: Continuous Control 38
4.4. Lump Sum Costs: Impulse Control 39
4.5. Example: Menu Costs 41
4.6. Linear Costs: Barrier Control 42
4.7. Some Geometry and Intuition 43
4.8. Example: Competitive Industry 45
5. Generalizations 47
5.1. Mean Reverting Processes 47
5.2. Finite Horizon 49
6. Some Characterization of Optimal Paths 51
6.1. Short Run: Time Until First Action 52
6.2. Long Run: Stationary Distribution and Average
Action 58
6.3. Dynamics of Brownian Paths: Kolmogorov
Equations 63
References 69
Index 71
|
| any_adam_object | 1 |
| author | Dixit, Avinash K. 1944- |
| author_GND | (DE-588)115439617 |
| author_facet | Dixit, Avinash K. 1944- |
| author_role | aut |
| author_sort | Dixit, Avinash K. 1944- |
| author_variant | a k d ak akd |
| building | Verbundindex |
| bvnumber | BV011577180 |
| classification_rvk | QH 237 |
| ctrlnum | (OCoLC)476149181 (DE-599)BVBBV011577180 |
| discipline | Wirtschaftswissenschaften |
| edition | 2. print. |
| format | Book |
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| id | DE-604.BV011577180 |
| illustrated | Illustrated |
| indexdate | 2025-02-03T16:44:36Z |
| institution | BVB |
| isbn | 3718653842 |
| language | Undetermined |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007796157 |
| oclc_num | 476149181 |
| open_access_boolean | |
| owner | DE-945 DE-19 DE-BY-UBM |
| owner_facet | DE-945 DE-19 DE-BY-UBM |
| physical | X, 72 S. graph. Darst. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | Harwood |
| record_format | marc |
| series | Fundamentals of pure and applied economics |
| series2 | Fundamentals of pure and applied economics |
| spellingShingle | Dixit, Avinash K. 1944- The art of smooth pasting Fundamentals of pure and applied economics Brownian motion processes Economics, mathematical brownsk bevægelse stokastiske processer Brownsche Bewegung (DE-588)4128328-4 gnd |
| subject_GND | (DE-588)4128328-4 |
| title | The art of smooth pasting |
| title_auth | The art of smooth pasting |
| title_exact_search | The art of smooth pasting |
| title_full | The art of smooth pasting Avinash Dixit |
| title_fullStr | The art of smooth pasting Avinash Dixit |
| title_full_unstemmed | The art of smooth pasting Avinash Dixit |
| title_short | The art of smooth pasting |
| title_sort | the art of smooth pasting |
| topic | Brownian motion processes Economics, mathematical brownsk bevægelse stokastiske processer Brownsche Bewegung (DE-588)4128328-4 gnd |
| topic_facet | Brownian motion processes Economics, mathematical brownsk bevægelse stokastiske processer Brownsche Bewegung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007796157&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000797506 |
| work_keys_str_mv | AT dixitavinashk theartofsmoothpasting |