Asymptotic Behavior of a Stochastic Discount Rate
نویسندگان
چکیده
The mean discount rate for a simple stochastic model behaves asymptotically roughly like 1/ √ n in contrast to the usual geometric discounting in a deterministic model. AMS (2000) subject classifications. 60F99, 60J05, 60G42.
منابع مشابه
Asymptotic Behavior of a Stochastic Discount Rate J. Geanakoplos, W. Sudderth & O. Zeitouni
The mean discount rate for a simple stochastic model behaves asymptotically roughly like 1/ √ n in contrast to the usual geometric discounting in a deterministic model. AMS (2000) subject classification. Primary 60F99, 60J05, 60G42; Secondary 60G50.
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تاریخ انتشار 2013