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The world meat market demands competitiveness, and optimal livestock replacement decisions can help to achieve this goal. In the article, there is introduced a novel discrete stochastic dynamic progra...
This paper examines the relationship between fertility and human capital investment, and it’s implications for economic growth, focusing on the effects of declining mortality. Unlike the exist...
This paper examines conditions for the uniqueness of an equilibrium price distribution in stochastic macroeconomic models with rational expectations. A model is developed in which many price distrib...
Optimal Stabilization Rules in a Stochastic Model of Investment with Gestation Lags.
During the last 15 years econometric techniques for evaluating macroeconomic policy using dynamic stochastic models in which expectations are consistent, or rational, have been developed extensively...
The purpose of this paper is to investigate the feasibility of using the extended path method - described in Fair and Taylor [ 23 - to solve capital asset pricing. This method is now being used rat...
A computationally feasible method for the full information maximum-likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is a...
The purpose of this article is to report on a comparison of several alternative numerical solution techniques for nonlinear rational-expectations models. The comparison was made by asking individual...
Heterogeneity in capital and skills in a neoclassical stochastic growth model.
This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the ex...
Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics.
The NTU-Value of Stochastic Games     Strategy  Game Theory       2015/4/28
Since the seminal paper of Shapley, the theory of stochastic games has been developed in many different directions. However, there has been practically no work on the interplay between stochastic game...
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
We introduce a class of local stochastic volatility models.Within our framework, we obtain an expression for both (i) the price of any European option and (ii) the induced implied volatility smile. To...

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