Search

Showing total 4 results
Start Over Topic stochastic differential equations Publication Year Range More than 50 years ago
4 results

1. Statistical Methods; Econometrics; Social Accounting.

Author

Alcaly, R.E., Klevorick, A.K., Bergstrom, A.R., Daniels, H.E., Dorrance, G.S., Enzer, H., Fisk, P.R., Granger, W.J., Haig, B.D., Jorgenson, D.W., Mertens, D., Mundlak, Y., Olsen, B.M., Garb, G., Park, S.Y., Sengupta, J.K., and Sievert, O.

Subjects
ECONOMIC statistics, ECONOMETRICS, LINEAR programming, STOCHASTIC differential equations, ACCOUNTING
Abstract

This section presents abstracts of research and articles on statistical methods used in economics, econometrics and social accounting. In their article, A Note on the Dual Prices of Integer Programs, R. E. Alcaly and A. K. Klevorick propose an alternative view of integer programming problems by presenting a recomputation process that enables a reconciliation of the integer and linear programming properties. A. R. Bergstrom's article, Nonrecursive Models as Discrete Approximations to Systems of Stochastic Differential Equations, is concerned with the specification error implied by the use of a nonrecursive model as a discrete approximation to a system of stochastic differential equations. In the paper, Financial Accounting: Its Present State and Prospects, author G. S. Dorrance reviews the presently available national statistics of borrowing and lending in communities, and of national balance sheets. It covers 17 countries, including practically all those for which such data are now available together with two for which data have been presented in the past. H. Enzer examines a linear growth system by applying a nonnegative output matrix to an age distribution of capital stock, in the paper On A Useful Capital Growth Matrix.

Published
1966

4. Stochastic Calculus and Stochastic Models

Author

E. J. McShane, Z. W. Birnbaum, E. Lukacs, E. J. McShane, Z. W. Birnbaum, and E. Lukacs

Subjects
Stochastic integrals, Stochastic differential equations
Abstract

Probability and Mathematical Statistics: A Series of Monographs and Textbooks: Stochastic Calculus and Stochastic Models focuses on the properties, functions, and applications of stochastic integrals. The publication first ponders on stochastic integrals, existence of stochastic integrals, and continuity, chain rule, and substitution. Discussions focus on differentiation of a composite function, continuity of sample functions, existence and vanishing of stochastic integrals, canonical form, elementary properties of integrals, and the Itô-belated integral. The book then examines stochastic differential equations, including existence of solutions of stochastic differential equations, linear differential equations and their adjoints, approximation lemma, and the Cauchy-Maruyama approximation. The manuscript takes a look at equations in canonical form, as well as justification of the canonical extension in stochastic modeling; rate of convergence of approximations to solutions; comparison of ordinary and stochastic differential equations; and invariance under change of coordinates. The publication is a dependable reference for mathematicians and researchers interested in stochastic integrals.

Published
1974