Economic and financial modeling techniques in the frequency domain

Bart Taub ()
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Bart Taub: University of Glasgow

Economic Theory Bulletin, 2019, vol. 7, issue 1, No 1, 17 pages

Abstract: Abstract I provide some results on continuous-time frequency domain methods that can be used in dynamic models of noisy information and strategic behavior, including Fourier transform methods, spectral factorization, and some notes on numerical implementation.

Keywords: Continuous time stochastic control; Frequency domain; Fourier transform methods; Spectral factorization (search for similar items in EconPapers)
JEL-codes: C61 C73 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s40505-018-0151-x

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