We introduce a simple method for computing value functions. The method is demonstrated by solving for transitional dynamics in the Uzawa and Lucas endogenous growth model. We use the value function approach to solve both the social planner’s optimization problem in the centralized economy and...

For n equidistant observations of a Lévy process at time distance Δn we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal–Getoor index in a non- or semiparametric manner. Asymptotically as n→∞ we allow for both, the high-frequency regime...

type="main" xml:id="sjos12019-abs-0001" <title type="main">ABSTRACT</title>We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes, which are observed discretely with additive observation noise. The appropriate estimation for time-varying volatilities is...

We present an explicit solution to an optimal stopping problem in a model described by a stochastic delay differential equation with an exponential delay measure. The method of proof is based on reducing the initial problem to a free-boundary problem and solving the latter by means of the...

In belligerent countries, male-to-female sex ratios at birth increased during and shortly after the two world wars. These rises occurred amidst dramatically changed marriage-market conditions caused by war-related declines in adult sex ratios, and still defy explanation. Based on county-level...

We solve an player general-sum differential game. The optimization problem considered here is based on the Uzawa-Lucas model of endogenous growth. Agents have logarithmic preferences and own two capital stocks. Since the number of players is an arbitrary fixed number , the model's solution is...