This paper aims at identifying the motivating forces that gave birth to the statistical models of asset returns since the beginning of the twentieth century. The major question addressed is: Where do statistical models of asset returns come from?" This central question encompasses a number of...

We formulate infinite dimensional stochastic robust optimal control problems, motivated by applications arising in interconnected economic systems, or spatially extended economies. We study in detail linear quadratic problems and nonlinear problems. We derive optimal robust controls and identify...

In this chapter we develop an interdisciplinary methodology for identifying water-related ecosystem functions into ecosystem services for humans, which are then monetarily evaluated using market and non-market valuation methods. We then apply this methodology to selected case studies on inland...

In this paper we define a set of indirect estimators based on moment approximations of the auxilary estimators. We provide results that describe higher order asymptotic properties of these estimators. The introduction of these is motivated by reasons of analytical and computational facilitation....

This paper investigates the implications of time-varying betas in factor models for stock returns. It is shown that a single-factor model (SFMT) with autoregressive betas and homoscedastic errors (SFMT-AR) is capable of reproducing the most important stylized facts of stock returns. An empirical...

We study a dynamic game of climate policy design in terms of emissions and solar radiation management (SRM) involving two heterogeneous regions or countries. Countries emit greenhouse gasses (GHGs), and can block incoming radiation by unilateral SRM activities, thus reducing global temperature....

This paper aims at identifying the motivating forces that gave birth to the statistical models of asset returns since the beginning of the twentieth century. The major question addressed is: Where do statistical models of asset returns come from?" This central question encompasses a number of...