Rational expectations models: An approach using forward-backward stochastic differential equations

DOI10.1016/j.jmateco.2007.05.005zbMath1133.91486OpenAlexW2016657241MaRDI QIDQ2482634

Athanasios N. Yannacopoulos

Publication date: 23 April 2008

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2007.05.005

zbMATH Keywords

nonlinear partial differential equationsforward backward stochastic differential equationsrational expectations models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic growth models (91B62) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (5)

Stochastic Saddle Paths and Economic Theory ⋮ MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY ⋮ Spatial growth theory: optimality and spatial heterogeneity ⋮ Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions ⋮ Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation

Cites Work

• Adapted solution of a backward stochastic differential equation
• Forward-backward stochastic differential equations and their applications
• Hedging contingent claims with constrained portfolios
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• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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• Infinite horizon forward-backward stochastic differential equations
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• Hedging options for a large investor and forward-backward SDE's
• Black's consol rate conjecture
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• Backward Stochastic Differential Equations in Finance
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