Stochastic Process Switching: Some Simple Solutions

DOI10.2307/2938249zbMath0721.90018OpenAlexW1966827755MaRDI QIDQ5753715

Kenneth A. Froot, Maurice Obstfeld

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w2998.pdf

zbMATH Keywords

regime-switchingregulated Brownian motiongeneral exchange-rate model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Related Items (10)

Stochastic saddlepoint systems ⋮ Stochastic processes and target zones revisited ⋮ Random perturbations of deterministic equilibria. ⋮ Transition probabilities in a problem of stochastic process switching ⋮ A simplified treatment of the theory of optimal regulation of Brownian motion ⋮ Another method for solving the problem of stochastic process switching ⋮ Another method for solving the problem of stochastic process switching ⋮ Closed-form solutions to stochastic process switching problems ⋮ Exchange rate pass-through: a generalization ⋮ An introduction to hypergeometric functions for economists

This page was built for publication: Stochastic Process Switching: Some Simple Solutions