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Dark Clouds or Silver Linings? Knightian Uncertainty and Climate Change
Chen, Yu-Fu - 2013
This paper examines the impact of Knightian uncertainty upon optimal climate policy through the prism of a continuous … Knightian uncertainty accelerates climate policy, i.e. policymakers become more reluctant to postpone the timing of climate …
Persistent link: https://www.econbiz.de/10013092649
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Applicaton of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - 2013
literature in mathematical finance concerning optimal portfolio allocation and stopping rules? The uncertainty concerns the …
Persistent link: https://www.econbiz.de/10012753227
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A Critique of the Literature on the US Financial Debt Crisis
Stein, Jerome L. - 2021
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10013316266
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A Tale of Two Debt Crises : A Stochastic Optimal Control Analysis
Stein, Jerome L. - 2021
Banks should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities sides. The...
Persistent link: https://www.econbiz.de/10013316580
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Environmental Policy Under Model Uncertainty : A Robust Optimal Control Approach
Funke, Michael; Paetz, Michael - 2021
Model uncertainty is inherent in the design of optimal environmental policy. We investigate the consequences in a …
Persistent link: https://www.econbiz.de/10013317181
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'Ito's Lemma' and the Bellman Equation for Poisson Processes : An Applied View
Sennewald, Ken; Wälde, Klaus - 2021
optimal consumption-investment problem with labor income. The utility function is unbounded and uncertainty stems from a …-of-variables formula (sometimes referred to as "Ito's-Lemma") under Poisson uncertainty …
Persistent link: https://www.econbiz.de/10013317637
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Dark Clouds or Silver Linings? Knightian Uncertainty and Climate Change
Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole - CESifo - 2011
This paper examines the impact of Knightian uncertainty upon optimal climate policy through the prism of a continuous … Knightian uncertainty accelerates climate policy, i.e. policymakers become more reluctant to postpone the timing of climate …
Persistent link: https://www.econbiz.de/10009221550
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A Critique of the Literature on the US Financial Debt Crisis
Stein, Jerome L. - CESifo - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10008534053
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Application of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - CESifo - 2009
literature in mathematical finance concerning optimal portfolio allocation and stopping rules? The uncertainty concerns the …
Persistent link: https://www.econbiz.de/10005094473
Cover Image
A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis
Stein, Jerome L. - CESifo - 2008
Banks should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities sides. The...
Persistent link: https://www.econbiz.de/10005406070