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Robustness and ambiguity in continuous time
Journal of Economic Theory, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lars Peter Hansen, Thomas J. Sargent
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Continuous-Time Stochastic Processes
1987Applications of continuous-time stochastic processes to economic modelling are largely focused on the areas of capital theory and financial markets: In these applications as in mathematics generally, the most widely studied continuous time process is a Brownian motion — so named for its early application as a model of the seemingly random movements of ...
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Continuous-time Stochastic Models
1987Models in which agents can revise their decisions continuously in time have proved fruitful in the analysis of economic problems involving intertemporal choice under uncertainty (cf. Malliaris and Brock, 1982). These models frequently produce significantly sharper results than can be derived from their discrete-time counterparts.
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Continuous-Time Flows in Networks
Mathematics of Operations Research, 1990We consider a class of maximum flow problems formulated in a directed network where the arc flows vary as Lebesgue-measurable functions of time, and storage is allowed at the nodes of the network. A max flow-min cut result of Anderson, Nash and Philpott [1] is extended to cover the case where each arc has a traversal time.
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Insider Trading in Continuous Time
Review of Financial Studies, 1992The continuous-time version of A. Kyle's (1985) model of asset pricing with asymmetric information is studied. It is shown that there is a unique equilibrium pricing rule within a certain class. This pricing rule is obtained in closed form for general distributions of the asset value.
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On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time
SIAM Journal on Control and Optimization, 2021Xuedong He, Zhaoli Jiang
exaly
Continuous-Time Policy Optimization
2023 American Control Conference (ACC), 2023Guojian Zhan +5 more
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