Asymptotic behavior of a stochastic discount rate

DOI10.1007/s13171-013-0037-9zbMath1308.60038OpenAlexW2062787258MaRDI QIDQ2257023

John D. Geanakoplos, William D. Sudderth, Ofer Zeitouni

Publication date: 23 February 2015

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-013-0037-9

zbMATH Keywords

asymptotic behaviorinterest ratesrandom walkstochastic discount rate

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Limit theorems in probability theory (60F99)

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