Solution to a Problem of Stochastic Process Switching

DOI10.2307/2938248zbMath0721.90020OpenAlexW2029870596MaRDI QIDQ5753716

Gregor W. Smith

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938248

zbMATH Keywords

Wiener processclosed-form solutionstochastic process switchingabsorbing barrier

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Related Items (5)

Random perturbations of deterministic equilibria. ⋮ Transition probabilities in a problem of stochastic process switching ⋮ Another method for solving the problem of stochastic process switching ⋮ Another method for solving the problem of stochastic process switching ⋮ Closed-form solutions to stochastic process switching problems

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