NANCY L. STOKEY的讲义《Brownian models in economics》。

Brownian models in economics
Nancy L. Stokey
November 10, 2006
TABLE OF CONTENTS

I. MATHEMATICAL PRELIMINARIES
Chapter 1: Stochastic processes, Brownian motion, diffusions

Chapter 2: Stochastic integrals, Ito’s lemma

Chapter 3: Martingales

Chapter 4: Useful formulas for Brownian motions

II. IMPULSE CONTROL MODELS

Chapter 5: Exercising an option

Chapter 6: Menu cost models

Chapter 7: Aggregate models with price adjustment

Chapter 8: Inventory models

Chapter 9: Durable goods

III. INSTANTANEOUS CONTROL MODELS

Chapter 10: Regulated Brownian motion

Chapter 11: Investment

APPENDICES

[此贴子已经被作者于2007-5-20 17:54:13编辑过]