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Continuous-time trading and the emergence of probability
Continuous-time trading emergence of probability
2010/11/1
This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized ...
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
We show that a simple model of a spatially resolved evolving economic system, which has a steady state under simultaneous updating, shows stable oscillations in price when updated asynchronously. The...