## Portfolio Dynamics

*Tomas Björk*

### in Arbitrage Theory in Continuous Time

- Published in print:
- 2004
- Published Online:
- October 2005
- ISBN:
- 9780199271269
- eISBN:
- 9780191602849
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199271267.003.0006
- Subject:
- Economics and Finance, Financial Economics

This chapter derives the dynamics of (the value of) a so-called self-financing portfolio; the price dynamics of various assets (e.g. stocks, bonds, financial derivatives) is considered as a given. A ... More

## Stochastic Accumulation of Information in Continuous Time

*R. Duncan Luce*

### in Response Times: Their Role in Inferring Elementary Mental Organization

- Published in print:
- 1991
- Published Online:
- January 2008
- ISBN:
- 9780195070019
- eISBN:
- 9780199869879
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195070019.003.0009
- Subject:
- Psychology, Cognitive Models and Architectures

This chapter examines closely-related models for possible processes underlying choice reaction time. The models are similar to those discussed in the preceding chapter, except that the accumulation ... More

## Strategic Asset Allocation in Continuous Time

*John Y. Campbell and Luis M. Viceira*

### in Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

- Published in print:
- 2002
- Published Online:
- November 2003
- ISBN:
- 9780198296942
- eISBN:
- 9780191596049
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198296940.003.0005
- Subject:
- Economics and Finance, Financial Economics

Discusses solution methods for dynamic asset allocation problems in a continuous‐time framework, and uses them to explore optimal portfolio choice with time‐varying volatility and with parameter ... More

## Introduction

*Rafal Goebel, Ricardo G. Sanfelice, and Andrew R. Teel*

### in Hybrid Dynamical Systems: Modeling, Stability, and Robustness

- Published in print:
- 2012
- Published Online:
- October 2017
- ISBN:
- 9780691153896
- eISBN:
- 9781400842636
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691153896.003.0001
- Subject:
- Mathematics, Applied Mathematics

This chapter presents the model of a hybrid system to be used in this volume. The focus is on the data structure and on modeling. The model suggests that the flow set, the flow map, the jump set, and ... More

## Describing Continuous-Time Event Occurrence Data

*Judith D. Singer and John B. Willett*

### in Applied Longitudinal Data Analysis: Modeling Change and Event Occurrence

- Published in print:
- 2003
- Published Online:
- September 2009
- ISBN:
- 9780195152968
- eISBN:
- 9780199864980
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195152968.003.0013
- Subject:
- Public Health and Epidemiology, Public Health, Epidemiology

This chapter presents strategies for describing continuous time event data. Section 13.1 identifies salient properties of continuous-time data and redefines the survivor and hazard functions as ... More

## A Multifactor, Nonlinear, Continuous‐Time Model of Interest Rate Volatility *

*Jacob Boudoukh, Christopher Downing, Matthew Richardson, Richard Stanton, and Robert F. Whitelaw*

### in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

- Published in print:
- 2010
- Published Online:
- May 2010
- ISBN:
- 9780199549498
- eISBN:
- 9780191720567
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199549498.003.0014
- Subject:
- Economics and Finance, Econometrics

This chapter provides a method for estimating multifactor continuous-time Markov processes. Using Milshtein's (1978) approximation schemes for writing expectations of functions of the sample path of ... More

## Hybrid Dynamical Systems: Modeling, Stability, and Robustness

*Rafal Goebel, Ricardo G. Sanfelice, and Andrew R. Teel*

- Published in print:
- 2012
- Published Online:
- October 2017
- ISBN:
- 9780691153896
- eISBN:
- 9781400842636
- Item type:
- book

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691153896.001.0001
- Subject:
- Mathematics, Applied Mathematics

Hybrid dynamical systems exhibit continuous and instantaneous changes, having features of continuous-time and discrete-time dynamical systems. Filled with a wealth of examples to illustrate concepts, ... More

## Event History Data

*Ludwig Fahrmeir and Thomas Kneib*

### in Bayesian Smoothing and Regression for Longitudinal, Spatial and Event History Data

- Published in print:
- 2011
- Published Online:
- September 2011
- ISBN:
- 9780199533022
- eISBN:
- 9780191728501
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199533022.003.0006
- Subject:
- Mathematics, Probability / Statistics, Biostatistics

This chapter extends Bayesian approaches for smoothing and regression developed in previous chapters to regression models for survival and event history data with structured additive predictors. This ... More

## Fitting Cox Regression Models

*Judith D. Singer and John B. Willett*

### in Applied Longitudinal Data Analysis: Modeling Change and Event Occurrence

- Published in print:
- 2003
- Published Online:
- September 2009
- ISBN:
- 9780195152968
- eISBN:
- 9780199864980
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195152968.003.0014
- Subject:
- Public Health and Epidemiology, Public Health, Epidemiology

This chapter describes the conceptual underpinnings of the Cox regression model and demonstrates how to fit it to data. Section 14.1 begins by developing the Cox model specification itself, ... More

## Stochastic Integrals

*Tomas Björk*

### in Arbitrage Theory in Continuous Time

- Published in print:
- 2004
- Published Online:
- October 2005
- ISBN:
- 9780199271269
- eISBN:
- 9780191602849
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199271267.003.0004
- Subject:
- Economics and Finance, Financial Economics

This chapter discusses the modelling of asset prices as continuous time stochastic processes. Diffusion processes and stochastic differential equations are used as building blocks to obtain the most ... More

## Numerical Methods for Solving First-Order Conditions in Dynamic Optimization Problems

*GREGORY C. CHOW*

### in Dynamic Economics: Optimization by the Lagrange Method

- Published in print:
- 1997
- Published Online:
- October 2011
- ISBN:
- 9780195101928
- eISBN:
- 9780199855032
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195101928.003.0009
- Subject:
- Economics and Finance, Financial Economics

While there have already been a large number of efforts to explain the numerical solutions to dynamic optimization problems that are based mainly on dynamic programming, in this chapter the author ... More

## Financial Asset Pricing Theory

*Claus Munk*

- Published in print:
- 2013
- Published Online:
- May 2013
- ISBN:
- 9780199585496
- eISBN:
- 9780191751790
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199585496.001.0001
- Subject:
- Economics and Finance, Econometrics

“Financial Asset Pricing Theory” offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price ... More

## Dynamic Games

*João P. Hespanha*

### in Noncooperative Game Theory: An Introduction for Engineers and Computer Scientists

- Published in print:
- 2017
- Published Online:
- May 2018
- ISBN:
- 9780691175218
- eISBN:
- 9781400885442
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691175218.003.0014
- Subject:
- Mathematics, Logic / Computer Science / Mathematical Philosophy

This chapter discusses a new class of games known as dynamic games. It begins by considering a two-player multi-stage game in extensive form in which the overall tree structure can be mathematically ... More

## Game Theory

*Thomas A. Weber*

### in Optimal Control Theory with Applications in Economics

- Published in print:
- 2011
- Published Online:
- August 2013
- ISBN:
- 9780262015738
- eISBN:
- 9780262298483
- Item type:
- chapter

- Publisher:
- The MIT Press
- DOI:
- 10.7551/mitpress/9780262015738.003.0004
- Subject:
- Mathematics, Probability / Statistics

This chapter provides an introduction to games in discrete time with complete and incomplete information. Based on this body of classical game theory, it goes on to discuss continuous-time ... More

## First Steps in Random Walks: From Tools to Applications

*J. Klafter and I. M. Sokolov*

- Published in print:
- 2011
- Published Online:
- December 2013
- ISBN:
- 9780199234868
- eISBN:
- 9780191775024
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199234868.001.0001
- Subject:
- Physics, Soft Matter / Biological Physics

The name “random walk” for a problem of a displacement of a point in a sequence of independent random steps was coined by Karl Pearson in 1905 in a question posed to readers of “Nature”. The same ... More

## Continuous-time random walks

*J. Klafter and I.M. Sokolov*

### in First Steps in Random Walks: From Tools to Applications

- Published in print:
- 2011
- Published Online:
- December 2013
- ISBN:
- 9780199234868
- eISBN:
- 9780191775024
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199234868.003.0003
- Subject:
- Physics, Soft Matter / Biological Physics

Up to now the book has considered the displacement and the return properties of a walker as functions of the number of steps. In physics and chemistry we however are mostly interested in the behavior ... More

## One-Player Differential Games

*João P. Hespanha*

### in Noncooperative Game Theory: An Introduction for Engineers and Computer Scientists

- Published in print:
- 2017
- Published Online:
- May 2018
- ISBN:
- 9780691175218
- eISBN:
- 9781400885442
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691175218.003.0016
- Subject:
- Mathematics, Logic / Computer Science / Mathematical Philosophy

This chapter focuses on one-player continuous time dynamic games, that is, the optimal control of a continuous time dynamical system. It begins by considering a one-player continuous time ... More

## Introduction

*Dorothea Olkowski*

### in The Universal (In the Realm of the Sensible): Beyond Continental Philosophy

- Published in print:
- 2007
- Published Online:
- March 2012
- ISBN:
- 9780748625567
- eISBN:
- 9780748652402
- Item type:
- chapter

- Publisher:
- Edinburgh University Press
- DOI:
- 10.3366/edinburgh/9780748625567.003.0001
- Subject:
- Philosophy, General

This introductory chapter explains the theme of this book, which is about universal philosophy. The book proposes a critique of the limits of the particular formalist, mathematical structure used by ... More

## Simulating molecular evolution

*Ziheng Yang*

### in Molecular Evolution: A Statistical Approach

- Published in print:
- 2014
- Published Online:
- August 2014
- ISBN:
- 9780199602605
- eISBN:
- 9780191782251
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199602605.003.0012
- Subject:
- Biology, Biomathematics / Statistics and Data Analysis / Complexity Studies, Evolutionary Biology / Genetics

This chapter introduces computer simulation and in particular simulation of the molecular evolutionary process. It covers the generation of random numbers as well as other discrete and continuous ... More

## State-Feedback Zero-Sum Differential Games

*João P. Hespanha*

### in Noncooperative Game Theory: An Introduction for Engineers and Computer Scientists

- Published in print:
- 2017
- Published Online:
- May 2018
- ISBN:
- 9780691175218
- eISBN:
- 9781400885442
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691175218.003.0018
- Subject:
- Mathematics, Logic / Computer Science / Mathematical Philosophy

This chapter focuses on the computation of the saddle-point equilibrium of a zero-sum continuous time dynamic game in a state-feedback policy. It begins by considering the solution for two-player ... More