Closed-form solutions to stochastic process switching problems (Q952681): Difference between revisions

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+https://doi.org/10.1016/j.jmateco.2007.09.002
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+W2059582215
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+Optimal Investment with Costly Reversibility
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+Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
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+Super contact and related optimality conditions
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+A Model of Stochastic Process Switching
@@ Property / cites work: A Model of Stochastic Process Switching / rank @@
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+Stochastic Process Switching: Some Simple Solutions
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+Martingales and arbitrage in multiperiod securities markets
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+Distributions of occupation times of Brownian motion with drift
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+The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
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+Solution to a Problem of Stochastic Process Switching
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@@ links / mardi / name / links / mardi / name @@
+Publication:952681