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Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions
Dynare Perturbation Hybrid Accuracy Numerical methods Approximation
2015/7/21
Local (perturbation) methods compute solutions in one point and tend to deliver far lower accuracy levels than global solution methods. We develop a hybrid
method that solves for some policy function...
Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
BSDE FBSDE Four Step Scheme Asymptotic Expansion Malliavin Derivative Non-linear PDE CVA
2011/7/4
In this work, we have presented a simple analytical approximation scheme for the
generic non-linear FBSDEs. By treating the interested system as the linear decoupled
FBSDE perturbed with non-linear ...
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Stochastic volatility option pricing perturbation theory
2010/10/29
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretic...
Perturbation theory in a pure exchange non-equilibrium economy
Perturbation theory pure exchange non-equilibrium economy
2010/10/29
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in...