A stochastic integral arising in discounting continuous cash flows and certain transformed characteristic functions

DOI10.1016/S0893-9659(99)00214-1zbMath0961.60027MaRDI QIDQ1588777

R. Smith

Publication date: 4 December 2000

Published in: Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic processescharacteristic functionstransformationsfunctional equationscontinuous discounting

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Production theory, theory of the firm (91B38) Mathematical economics (91B99) Functional equations and inequalities (39B99)

Related Items (2)

Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Study on some particular class of nonlinear integral equation with a hybridized approach

Cites Work

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• Classical risk theory in an economic environment
• Analytical and simulation techniques for discounting binomial random sums
• Ruin problems with compounding assets
• Analytical and computer simulation techniques for a stochastic model arising in discounting continuous uniform cash flows
• A stochastic model for proactive risk management decisions
• Discounting Certain Random Sums
• PROPERTIES AND STOCHASTIC DERIVATIONS OF A CHARACTERISTIC FUNCTION OF CLASS L

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