Callen, Jeffrey; Xu, Lin; Govindaraj, Suresh - In: Economic Theory 16 (2000) 2, pp. 401-419
We use the theory of large deviations to investigate the large time behavior and the small noise asymptotics of random economic processes whose evolutions are governed by mean-reverting stochastic differential equations with (i) constant and (ii) state dependent noise terms. We explicitly show...