Stochastic Process Switching: Some Simple Solutions

DOI10.2307/2938249MaRDI QIDQ5753715zbMATH OpenOpenAlexFDO

Authors Kenneth A. Froot, Maurice Obstfeld

Publication date 1991

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w2998.pdf

zbMATH Keywords

general exchange-rate modelregime-switchingregulated Brownian motion

Mathematics Subject Classification ID

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

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(13)

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• Random perturbations of deterministic equilibria.
• Stochastic processes and target zones revisited
• Transition probabilities in a problem of stochastic process switching
• An introduction to hypergeometric functions for economists
• Solution to 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
• 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
• Exchange rate pass-through: a generalization

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