We consider a continuous-time neoclassical one-sector stochastic growth model of Ramsey-type with CRRA utility and Cobb-Douglas technology, where each of the following components are exposed to exogeneous uncertainties (shocks): capital stock K, effectiveness of labor A, and labor force L; the...

We consider a continuous-time neoclassical one-sector stochastic growth model of Ramsey-type with CRRA utility and Cobb-Douglas technology, where each of the following components are exposed to exogeneous uncertainties (shocks): capital stock K, effectiveness of labor A, and labor force L; the...

We experimentally investigate a Bertrand market with homogenous goods where sellers may behave socially responsible by donating a share of their profits to an existing non-profit organization. In our experiment, we find that this Corporate Social Responsibility (CSR) component is used...

In some modern venture valuation approaches, option pricing theory plays an important role. The aim of this paper is to present some tools and viewpoints which might be helpful for future investigations along this line. We model the value-dynamics Xt of an imbedded underlying X as a...

We investigate properties of processes Xt which are weak solutions of multidimensional stochastic differential equations of the formdXt=b(t,Xt) dt+dWt.We show that under certain non-stochastic conditions the solution Xt itself satisfies a uniform Novikov property. Consequently, it will follow...

The objects of consideration are weak solutions Xt of "classical" multi-dimensional stochastic differential equations of the form dXt = b(t, Xt) dt + dWt. We give stochastic and non-stochastic conditions which guarantee the boundedness of the entropy of Xt. It will be demonstrated by example...

The aim of this paper is to demonstrate by examples the possible "extreme" behaviour of exponential moments of two Brownian functionals. As a consequence, it will follow that the "uniform" Novikov condition does not imply the condition and vice versa. Both conditions (1) and (2) are known to be...