We introduce an easy way of analyzing the transitional dynamics of the Uzawa-Lucas endogenous growth model. We use the value function approach to solve both the social planner?s optimization problem and the representative agent?s optimization problem in the decentralized economy. The complexity...

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...

We introduce and analyse numerical methods for the treatment of inverse problems, based on an adaptive wavelet Galerkin discretization. These methods combine the theoretical advantages of the wavelet-vaguelette decomposition (WVD) in terms of optimally adapting to the unknown smoothness of the...

Stochastic delay differential equations (SDDEs for short) appear naturally in the description of many processes, e.g. in population dynamics with a time lag due to an age-dependent birth rate (Scheutzow 1981), in economics where a certain "time to build" is needed (Kydland and Prescott 1982) or...

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...

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 investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit...

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...