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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


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


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


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


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


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


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


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


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


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


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


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


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


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


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