Long-Term Risk: An Operator Approach

DOI10.3982/ECTA6761zbMath1160.91367WikidataQ59664735 ScholiaQ59664735MaRDI QIDQ3627280

Lars Peter Hansen, José Alexandre Scheinkman

Publication date: 18 May 2009

Published in: Econometrica (Search for Journal in Brave)

zbMATH Keywords

semigroups; martingales; long run; risk-return trade-off; Frobenius theory; perron

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60H30: Applications of stochastic analysis (to PDEs, etc.)

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