The Economics of Inaction: Stochastic Control Models with Fixed Costs

By Nancy L. Stokey | Go to book overview

The Economics of Inaction:
Stochastic Control Models with Fixed Costs

Nancy L. Stokey

Princeton University Press
Princeton and Oxford

-iii-

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The Economics of Inaction: Stochastic Control Models with Fixed Costs
Table of contents

Table of contents

  • Title Page iii
  • Contents v
  • Preface ix
  • 1: Introduction 1
  • Part I - Mathematical Preliminaries 15
  • 2: Stochastic Processes, Brownian Motions, and Diffusions 17
  • 3: Stochastic Integrals and Ito's Lemma 30
  • 4: Martingales 53
  • 5: Useful Formulas for Brownian Motions 75
  • Part II - Impulse Control Models 107
  • 6: Exercising an Option 109
  • 7: Models with Fixed Costs 129
  • 8: Models with Fixed and Variable Costs 153
  • 9: Models with Continuous Control Variables 176
  • Part III - Instantaneous Control Models 197
  • 10: Regulated Brownian Motion 199
  • 11: Investment 225
  • Part IV - Aggregation 251
  • 12: An Aggregate Model with Fixed Costs 253
  • A - Continuous Stochastic Processes 283
  • B - Optional Stopping Theorem 290
  • References 295
  • Index 303
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