This book analyzes stochastic dynamic systems across a broad
spectrum in economics and finance. The major unifying theme is the
coherent and rigorous treatment of uncertainty and its implications
for describing stochastic processes by the stochastic differential
equations of the fundamental models in various fields. Pertinent
subjects are interrelated, juxtaposed, and examined for consistency
in theoretical and empirical contexts. The volume consists of three
parts: Developments in Stochastic Dynamics; Stochastic Dynamics in
Basic Economic Growth Models; and Intertemporal Optimization in
Consumption, Finance, and Growth. Key topics include: fractional
Brownian motion in finance; moment evolution of Gaussian and
geometric Wiener diffusions; stochastic kinematics and stochastic
mechanics; stochastic growth in continuous time; time delays and
Hopf bifurcation; consumption and investment strategies;
differential systems in finance and life insurance; uncertainty of
technological innovations; investment and employment cycles;
stochastic control theory; and risk aversion. The works collected
in this book serves to bridge the "old" deterministic dynamics and
the "new" stochastic dynamics. The collection is important for
scholars and advanced graduate students of economics, statistics,
and applied mathematics.
General
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