Bounded & Unbounded Stochastic Processes

Colin Rose

Chapter 11 in Economic and Financial Modeling with Mathematica®, 1993, pp 239-265 from Springer

Abstract: Abstract In recent years, economic modelling has seen a significant shift from deterministic models to stochastic ones. Because of the prevalence of imperfect information and rational expectations, bounded and unbounded stochastic models now play an important role in both micro- and macro-economics, as well as the full ambit of financial models. This chapter illustrates how Mathematica can be used to model and simulate a variety of stochastic problems. Particular attention is focused upon exchange rate target zones and the theory of irreversible investment under uncertainty.

Keywords: Exchange Rate; Random Walk; Normal Random Variable; Target Zone; Fair Coin (search for similar items in EconPapers)
Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4757-2281-9_11

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DOI: 10.1007/978-1-4757-2281-9_11

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