Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

We study the problem of estimating the coefficients of a diffusion (Xl, t 2: 0); the estimation is based on discrete data Xn . . n = 0, 1, ... ,N. The sampling frequency delta t is constant , and asymptotics arc taken at the number of observations tends to infinity. We prove that the problem of...

We study the problem of estimating the coefficients of a diffusion (Xl, t 2:: 0); the estimation is based on discrete data Xn . . n = 0, 1, ... ,N. The sampling frequency delta t is constant , and asymptotics arc taken at the number of observations tends to infinity. We prove that the problem of...

We study three types of practical optimization problems faced by a firm that can control its liquid reserves by paying dividends and by issuing new equity. In the first problem, we consider the classical dividend problem without equity issuance. The second problem aims at maximizing the expected...

We study three types of practical optimization problems faced by a firm that can control its liquid reserves by paying dividends and by issuing new equity. In the first problem, we consider the classical dividend problem without equity issuance. The second problem aims at maximizing the expected...

Let [sigma]>0,[delta]>=1,b>=0, 0<p<1. Let [lambda] be a continuous and positive function in . Using the technique of moving domains (see Russo and Trutnau (2005) [9]), and classical direct stochastic calculus, we construct for positive initial conditions a pair of continuous and positive semimartingales with and where the symmetric local times , of the respective semimartingales are related through the formula Well-known special cases are the (squared) Bessel processes (choose [sigma]=2, b=0, and [lambda]2[reverse not equivalent]0, or equivalently ), and the Cox-Ingersoll-Ross process (i.e. R, with [lambda]2[reverse not equivalent]0, or equivalently ). The case 0<[delta]<1 can also be handled, but is different. If p>1, then there is no solution.

Technology diffusion of medical innovations is a complex evolutionary process. The specificities on the demand as well as on the supply side have a crucial impact on their diffusion paths. This paper aims to investigate the diffusion process of two competing innovative technologies in the health...