Narrow search
Showing 1 - 10 of 1,865
Cover Image
A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models
Huang, Ji - 2023
This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential …
Persistent link: https://www.econbiz.de/10014345557
Cover Image
Dynamic Ic and Dynamic Programming
Kwon, Suehyun - 2019
This paper develops a dynamic programming method when the one-stage deviation principle in the sense of mechanism design literature doesn’t hold. The commonly used dynamic programming method is valid only if the one-stage deviation principle in the sense of mechanism design literature is...
Persistent link: https://www.econbiz.de/10012889686
Cover Image
A tale of two debt crises: a stochastic optimal control analysis
Stein, Jerome L. - 2008
literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on …
Persistent link: https://www.econbiz.de/10010264305
Cover Image
Is There News in Inventories?
Görtz, Christoph - 2020
We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact: in response to news about future increases in TFP, inventories rise and comove positively with other major macroeconomic aggregates. We show that the standard theoretical...
Persistent link: https://www.econbiz.de/10012834348
Cover Image
Stochastic Contracts and Subjective Evaluations
Lang, Matthias - 2021
stochastic contracts, like uncertain arbitration procedures or payments in stock options. These contracts incentivize employees … without the need for payments to third parties. In addition, stochastic contracts can make the principal better off compared … to deterministic contracts. My results also address the puzzle about the prevalence of labor contracts with stochastic …
Persistent link: https://www.econbiz.de/10013311715
Cover Image
Optimization Over Graphs
Kwon, Suehyun - 2019
This paper defines isomorphism for network formation that is not mathematically isomorphic. Once the pattern of network formation is characterized, one can test for (i) location fixed effects, (ii) heterogeneity, (iii) private information allowing for long-term contracts. The paper provides...
Persistent link: https://www.econbiz.de/10012892085
Cover Image
Dynamic Programming on a Quantum Annealer : Solving the RBC Model
Fernández-Villaverde, Jesús; Hull, Isaiah - 2023
quantum annealer, a specialized device that performs combinatorial optimization. Quantum annealers attempt to solve an NP …
Persistent link: https://www.econbiz.de/10014347831
Cover Image
Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2007
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including …
Persistent link: https://www.econbiz.de/10010264124
Cover Image
Apportioning of risks via stochastic dominance
Eeckhoudt, Louis; Schlesinger, Harris; Tsetlin, Ilia - 2008
wealth variable Xi dominates Yi via ith-order stochastic dominance for i = M,N. We show that the 50-50 lottery [XN + YM, YN … + XM] dominates the lottery [XN + XM, YN + YM] via (N + M)th-order stochastic dominance. The basic idea is that a decision … maker exhibiting (N + M)th-order stochastic dominance preference will allocate the state-contingent lotteries in such a way …
Persistent link: https://www.econbiz.de/10010264492
Cover Image
Matching and saving in continuous time: Proofs
Bayer, Christian; Wälde, Klaus - 2010
This paper provides the proofs to the analysis of a continuous time matching model with saving in Bayer and Wälde (2010a). The paper proves the results on consumption growth, provides an existence proof for optimal consumption and a detailed derivation of the Fokker-Planck equations.
Persistent link: https://www.econbiz.de/10010270451