What are dynamic stochastic general equilibrium (DSGE) models?

Probability in the Engineering and Informational Sciences, vol. 12, 1998 ... BOOK: Stochastic-Process Limits, published by Springer in 2002 (602 pages). Feb 20, 2007 ... Efficient tools to characterize stochastic processes are discussed. Quantifiers originally proposed within the framework of information ... This paper develops a subordinated stochastic process model for asset prices, where the directing process is identified as information. Motivated by recent. Wu is with School of Mathematics and Informational Science,. Yantai ... Proposition 2: If a stochastic process is locally strongly uni- formly ... The dynamic features are governed by the information flow, modeled as a stochastic volatility process, and generalize standard ARCH specifications. ), Arbitrage, Credit and Informational Risks, (pp. 53-86). Singapore: World ... Stochastic Processes and their Applications, 129(4), 1229-1258. [More ... 01:640:478 Introduction to Stochastic Processes, 3, Please check possible pre-req on the Schedule of Classes. 01:640:354 Linear Optimization, 3, Please check ... Mar 22, 2011 ... ... stochastic process is present in commodity prices. In addition, we build a dynamic stochastic general equilibrium model with informational ... Aug 28, 2020 ... ... process' informational content, but it does not address how this ... process (partly regular, partly stochastic), the golden mean process. This paper describes a method for obtaining numerical information concerning the time-dependent behavior of stochastic processes such as those arising in ...