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Stochastic economic dynamics. Edited by: Jensen, B S; Palokangas, T (2007). Frederiksberg: Copenhagen Business School Press.

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This book analyzes stochastic dynamic systems across a broad spectrum of economics and finance. The major unifying theme is the coherent and rigorous treatment of uncertainty and its implications for describing stochastic processes by the stochastic differential equations of the fundamental models in various fields. Pertinent subjects are interrelated, juxtaposed, and examined for consistency in theoretical and empirical contexts.

The volume consists of three parts: Developments in Stochastic Dynamics; Stochastic Dynamics in Basic Economic Growth Models; Intertemporal Optimization in Consumption, Finance, and Growth. Key topics include: fractional Brownian motion in finance; moment evolution of Gaussian and geometric Wiener diffusions; stochastic kinematics and stochastic mechanics; stochastic growth in continuous time; time delays and Hopf bifurcation; consumption and investment strategies; differential systems in finance and life insurance; uncertainty of technological innovations; investment and employment cycles; stochastic control theory and risk aversion.

Additional indexing

Item Type:Edited Scientific Work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Deposited On:11 Nov 2009 13:12
Last Modified:05 Apr 2016 13:23
Publisher:Copenhagen Business School Press
Number of Pages:438
Official URL:http://www.cbspress.dk/Visning-af-titel.848.0.html?&cHash=e17895b8b3&ean=9788763001854
Related URLs:http://www.ams.org/mathscinet-getitem?mr=2416262

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