A Model of Stochastic Process Switching

DOI10.2307/1912144MaRDI QIDQ4750384zbMATH OpenOpenAlexFDO

Authors Robert P. Flood, Peter M. Garber

Publication date 1983

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://www.federalreserve.gov/pubs/ifdp/1982/201/ifdp201.pdf

zbMATH Keywords

process switchingrational expectations exchange-rate modelstochastic exchange rate

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited in

(13)

• Random perturbations of deterministic equilibria.
• Inflation targeting with NAIRU uncertainty and endogenous policy credibility
• Exchange rate bifurcation in a stochastic evolutionary finance model
• A currency crisis model with a misaligned central parity: A stochastic analysis
• Vanishing central bank intervention in stochastic impulse control
• Transition probabilities in a problem of stochastic process switching
• Stochastic impulse control of exchange rates with Freidlin-Wentzell perturbations
• Another method for solving the problem of stochastic process switching
• Another method for solving the problem of stochastic process switching
• A consistent nonparametric test of ergodicity for time series with applications
• Semimartingale dynamics for a backward exchange rate process
• Diffusion processes and a random ODE arising in macroeconomics
• Closed-form solutions to stochastic process switching problems

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