Solution to a Problem of Stochastic Process Switching

DOI10.2307/2938248MaRDI QIDQ5753716zbMATH OpenOpenAlexFDO

Authors 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

absorbing barrierclosed-form solutionstochastic process switchingWiener process

Mathematics Subject Classification ID

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

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(8)

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• Transition probabilities in a problem of stochastic process switching
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• Another method for solving the problem of stochastic process switching
• Another method for solving the problem of stochastic process switching
• 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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