In this paper, we provide solution methods for non-linear rational expectations models in which regime-switching or the shocks themselves may be "endogenous," i.e. follow state-dependent probability distributions. We use the perturbation approach to find determinacy conditions, i.e. conditions...

Starting with J. Muth’s unsupported and unsupportable claims, originally made in 1961, that “rational expectations” were subjective probability distributions that were distributed around a known, true, objective probability distribution, various economists have provided the same type of...

Optimization problems in operations and finance often include a cost that is proportional to the expected amount by which a random variable exceeds some fixed quantity, known as the expected loss function. Representation of this function often leads to computational challenges, depending on the...