Rational expectations models: An approach using forward-backward stochastic differential equations
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Publication:2482634
forward backward stochastic differential equationsnonlinear partial differential equationsrational expectations models
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Economic growth models (91B62) Macroeconomic theory (monetary models, models of taxation) (91B64) Stochastic models in economics (91B70)
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Cited in
(12)- The design of feedback rules in linear stochastic rational expectations models
- Time-varying rational expectations models
- Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation
- Stochastic saddle paths and economic theory
- Markets for inflation-indexed bonds as mechanisms for efficient monetary policy
- scientific article; zbMATH DE number 4027137 (Why is no real title available?)
- Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
- Spatial growth theory: optimality and spatial heterogeneity
- The forward method as a solution refinement in rational expectations models
- Semimartingale dynamics for a backward exchange rate process
- Rational expectations: an approach of anticipated linear-quadratic social optima
- Fully coupled mean-field forward-backward stochastic differential games under model uncertainty
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