|
|
 |
| Авторизация |
|
|
|
| Поиск по указателям |
|
|
|
|
|
|
|
 |
|
|
|
| Malliaris A.G., Brock W.A. — Stochastic methods in economics and finance |
|
|
|
| Предметный указатель |
Left-stable 103
Leland, H.E. 214
Leonardz, B. 63
LeRoy, S. 24
Levhari, D. 139 214 276
Levy, H. 272
Liapunov function 104
Liapunov method 104
Liapunov — Kushner approach to stability 104—106
Liapunov, A. 136
Life-cycle consumption model 28
Limit in mean square 72
Limit inferior of a sequance 3 8 10
Limit superior of a sequence 3 8 10
Lintner, J. 275
Lippman, S.A. 48 51 60 63
Lipschitz condition 94 162
Litzenberger, R.H. 276
Liviatan, N. 139 276
Local asymptotic stochastic stability 105
Loeve, M.M. 1 60
Long bond 235
Lower semi-martingale 61
Lucas, R.E. 62 157 160 169 182 214 215 247 254 276 277
MaCurdy, T.E. 61
Magill, M.J.P. 139 140 167 168 215.
Majumdar, M. 102 214
Malhans, A.G. 61 214
Malinvaud, E. 251
Malkiel, B.G. 276
Mandelbrot, B.B. 23 61 62
Mandl, P. 106 138
Mangasarian, O.L. 139
Marginal cost 190
Marginal value of capital 119
Market price of risk 234 236—238
Markov chain 39—40 62
Markov process 39 41 54 67 98 158
Markov property 36 39 41 99 144—145
Markov, A.A. 62
Markus, L. 139
Martingale 17 61 80 236 261
Martingale convergence theorem 32
Martingale property 17 24 28 29 61—62
Massera, J.L. 136
Maximum principle 109—113 124
Maximum principle for jump processes 123—124
Mayer, W. 214
McCall, J.J. 48 51 60 61 63 191 214
McCall’s theorem 191
McFadden, D. 251
McKcnzie, L. 139 215
McKean, Jr., H.P. 37 78 80 133 216
McKenzic competitive process 166
McNees, K. 62
McShane, E.J. 133
Mean 11
Mean ergodic theorem 246
Mean-square-differentiable 98
Measurability property 18
Measurable function 4
Measurable set 2
Measurable space 2
Measure 2 57
Meiselman, D. 276
Merton, R.C. 106 138 139 140 141 146 147 148 182 214 220 222 223 225 226 227 228 229 230 233 237 269 273 275 276 277
Merton’s costate equation 269
Metivier, M. 78 80 133
Meyer, P.A. 18 29 61 78 80 133 135
Michaelsen, J.B. 276
Miller, H.D. 62 200
Miller, M.H. 239 273
Miller, R.A. 216
Mills, E.S. 214
Mirnian, L.J. 138 182 185 186 187 188 214 277
Miroshnichenko, T.P. 195 197
Miroshnichenko’s theorem 197
Modigliam, F. 62 273
Moment, kth 11 102
Moment, kth central 11 102
Monetary perfect foresight equilibrium 212
Monotone case 52—53
Monotone Convergence Theorem 10 59
Monotoneity property 17 58
Moore, J. 139
Mortensen, D.T. 169
Mossin, J. 275
Mullinaux, D 62
Muth, J.F. 22 28 153
Myopic behavior 51
Myopic perfect foresight 179
Nagel, E. 65
Ncveu, J. 4 29 60 61
Neave, E.H. 277
Negative part of a function 9
Negligible set 3
Nelson, C.R. 214 276
Net rate of return per unit of risk 222
Nominal bond 231
Non-differentiability of Wiener process 37
Nonanticipating  -fields 72—73
Nonanticipating function 73
Nonanticipating property 133
Normal accumulation rate 23
Normal backwardation 25
Normal distribution 6
Ohlson, J.A. 24
Olech, C 139
Olivera, J.H.G. 239
One-step transition probability 39
Optimal random process 164
Optimal reward 125
Optimal saving 148
Optimal stopping, boundary 126
Optimal stopping, existence of 47
Optimal stopping, rule 43 45 57
Optimal strategy 125
Ornstein — Uhlenbeck process 269—270
Orr, D. 239
Outcome 1
O’Neill, D.E. 61
Padgett, W.J. 69 132
Pairwise disjoint sets 2
Papoulis, A. 60
Parabolic partial differential equation 126
Parameter process, continuous 32
Parameter process, discrete 32
Part of a function, negative 9
Part of a function, positive 9
Partition 70
Pascal, B. 61
Pellaumail, J. 78 80 133 134
Perrakis, S. 214
Pliska, S.R. 62 80
Point equilibrium solution 102
Poisson distribution 6
Poisson process 42 228
Policy function 111
Pontryagin stochastic maximum principle 112
Pontryagin, L.S. 139
Poole, W. 216
Port, S.C. 40 62
Positive part of a function 9
Prabhu, N.U. 62
Pratt, J.W. 214
Prescott, E. 157 160 169 214
Present discounted-value rule of capitalization 25
Price, future 21
Price, now-expected level of the terminal spot 22
Price, spot 21
| Price, terminal spot 22
Probability, conditional 12—13
Probability, converges in 7 77
Probability, measure 58
Probability, space 3
Process, admissible 183
Process, binomial 274
Process, Brownian motion 36—38
Process, competitive 161—168
Process, continuous parameter 32
Process, discrete parameter 32
Process, Markov 39 41
Process, Poisson 42 228
Process, separable 35
Process, spot interest rate 233—234
Process, time-homogeneous 38 41
Process, Wiener 36—38
Prodromou, S. 131
Properties of solutions of stochastic differential equations 92 96
Properties of, conditional expected value 14—15
Properties of, conditional probability 13—14
Properties of, Ito’s integral 78—80
Property of boundedness of solutions 104 206
Property of dependence of solutions on parameters and initial data 97
Property of differentiability of solutions 98
Radon — Nikodym derivative 12
Radon — Nikodym theorem 12
Ramaswamy, K. 276
Ramsey’s rule 150
Random variable 4
Random vector 4
Rational expectations equilibrium 168—171 178 248
Rational expectations hypothesis 22 28 153—156 159 178—182 246
Razin, A. 214
Realization of a process 33
Reflecting barrier 200
Reservation wage 49
Restriction on growth condition 94—162
Reward function 43 125
Reward function, average 125
Richard, S.F. 276 277
Riemann — Stieljes integral 72
Right-stable 103
Rishel, R.W. 108 139
Risk aversion 24 151 189 232
Risk free 221 225 243 258 270
Risk neutral 48
Risk premium 152
Robbins, H. 44 45 51 52 53 63
Rockafellar, R.T. 118 139 163
Roll, R. 62
Ross, S.A. 182 273 274 276 277
Rothschild, M. 53 59 205 214 216
Roxin, E. 139
Ruiz-Moncayo, A. 63
Sample path 33—34
Sample point 1
Sample stability 131
Sampling with recall 48
Sampling without recall 48
Samuelson, P. 21 22 23 24 25 28 61 139 216
Sandmo, A. 188 214
Sargent, T. 62 132
Sarnat, M. 272
Savage, L.J. 59
Schcinkman, J.A. 139 186 249 251 252
Scholes, M. 220 221 222 233 273
Schuss, Z. 69
Schwartz, E.S. 276
Semi-martingale 61
Semi-strong information 22
Separable process 35
Separation theorem 229
Set 1
Sharpc, W.F. 275
Sharpe — Lintner formulation 243 245 272
Shell, K. 139 272
Shiller, R.J. 62 214
Shiryayev, A.N. 44 63
Shrevc, S.E. 132
Sicgmund, D. 45 51 52 53 63
Simon, H.A. 141
Sivan, R. 139
Skorohod, A.V. 62 70 72 77 79 81 93 94 96 97 98 101 103 104 122 132 135
Slutsky, E. 215
Smith, Jr., C.W. 269 273 274 276
Smooth-fit equations 127
Solow neoclassical differential equation of growth 67 142
Solow, R.M. 141
Solutions 93
Solutions, boundedness of 104
Solutions, existence of 93—94
Solutions, uniqueness of 93—94
Soong, T.T. 69 132
Space 1
Space, measurable 2
Space, probability 3
Spot prices 21
Spot rate 233
Srinivasin, T.N. 214
Stable in the mean 137 181
Standard deviation 11
Standardized Wiener process 36 174
State space 33
State variable 108
Stationary, distribution 40 106—108 146—147
Stationary, increments 37
Stationary, transition probability 39
Steady state distribution 40 106
Step function 73
Stigliz, J.E. 53 59 61 205 216
Stigum, B.P. 214
Stochastic capital theory 53—57 194—205
Stochastic Cauchy Sequence 75—76
Stochastic control 108—118 123—124 138—140 223—228 230—233 271
Stochastic demand for money 238—241 277
Stochastic demand function 207
Stochastic differential 81
Stochastic initial value problem 92
Stochastic integrable sequence 51—52
Stochastic integral 74 76 78 130 133—135
Stochastic integration 69—80
Stochastic linear equations 94—96 135—136 180
Stochastic local asymptotic stability 105
Stochastic maximum principle with constraints 118 223—225 230—233
Stochastic neoclassical differential equation 142—143
Stochastic process 32 (see also “Process”)
Stochastic quantity theory of money 210
Stochastic Ramsey problem 148—150
Stochastic rate of inflation 217—220 230
Stochastic search theory 48—51 60 212—213
Stochastic stability in the large 105 136—138
Stochastic variational problem 164
Stochastically equivalent 34
Stone, C.J. 40 62
Stopping region 126
Stopping rule 43 46
Stopping time 43 46
Stopping variable 43 46
Strasbourg approach 80
Stratonovich integral 130 134
Stratonovich, R.L. 130 134
Strauss, A. 139
Strong information 22—23
Strong martingale hypothesis 23
Subadditivity property 58
Submartingale 19 23—24 27 29 61 80
Supermartingale 19 57 61
Syski, R. 132
Systematic risk 242 258
|
|
|
| Реклама |
|
|
|
|
|
О проекте