-by-state utility deviations from the mean, and rho(d) is a measure of (aversion to) dispersion that corresponds to an uncertainty … premium. The key feature of these mean-dispersion preferences is that they exhibit constant absolute uncertainty aversion … dispersion function rho(dot) correspond to known models, to probabilistic sophistication, and to some new notions of uncertainty …

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We …

vector diffusion. The results suggest finite sample approximations which in the stationary case correspond to conventional …

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this …

law to a diffusion on D[0,infinity) and a central limit law to a scalar normal variate. For c < 0, the results provide a n …

The diffusion of a new product of uncertain value is analyzed in a duopolistic market in continuous time. The two sides … setting. Finally, the diffusion path of a successful product is shown to be S-shaped. …

diffusion function in situations where one or the other function is considered a nuisance parameter. The asymptotic behavior of …

. The limit theory combines a functional law to a diffusion on D[0,infinity) and a central limit theorem. For c > 0, the …