Term Structure Equation for Continuous Time
DISCRETE time or CONTINUOUS time. At yp e
... Basic Term-Structure Equation 1 Stochastic Processes Any variable whose value changes over time in an uncertain way is called a Stochastic ...DISCRETE time or CONTINUOUS ...
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"Term Structure of Interest Rates under Recursive Preferences in Continuous Time"
... discrete-time recursive utility model, that, if inflation is bad news for consumption growth, then the nominal yield curve slopes up, while the real yield curve slopes down. Our results shows explicitly the ...
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A continuous-time model of the term structure of interest rates with fiscal-monetary policy interactions
... the term structure responds to the fiscal ...the continuous time limit of the equilibrium relationships in discrete time presented in the previous ...real term structure. ...
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Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models
... 3 Kong, Singapore and Thailand) and came with the same conclusion as Sun (2003) that different markets require different models. It is increasingly clear that a majority of the above-mentioned countries are developed ...
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Modelling the short term interest rate with stochastic differential equation in continuous time: linear and nonlinear models
... 21 than the linear models. Therefore, it will be more appropriate to use nonlinear models when modelling the short-term interest rate model in South Africa. The present study relies on a set of assumptions such as ...
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Extending the Bellman equation for MDPs to continuous actions and continuous time in the discounted case
... We have introduced an extension to the classical MDP model in three ways that generalize the kind of problems we can consider: • We generalized as was already done in previous work MDPs [r] ...
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Convergence of a space time continuous Galerkin method for the wave equation
... Abstract This paper gives a new theoretical analysis of the space-time continuous Galerkin (STCG) method for the wave equation. We prove the existence and uniqueness of the numerical solutions and ...
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Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
... JEL classification: C12, C14, E17, E43, G12, G20 Bank classification: Asset pricing; Interest rates; Econometric and statistical methods Résumé L’auteur propose un test permettant de vérifier la validité de la ...
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Term structure and real-time learning
... the information provided by observable endogenous variables, such as those showing up in the Euler equations of a DSGE model. Small forecasting models based only on observable variables can arguably be viewed as a more ...
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Boundary value problems for the diffusion equation with piecewise continuous time delay
... A class of loaded equations that arise in solving certain inverse problems was explored within the general framework of differential equations with piecewise continuous delay The purpose[r] ...
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Accuracy and Stability of the Continuous-Time 3DVAR Filter for the Navier-Stokes Equation
... Navier-Stokes equation as a prototype model in this ...in time which is a natural setting in which to study high time-frequency data subject to significant ...Navier-Stokes equation, when the ...
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Accuracy and stability of the continuous-time 3DVAR filter for the Navier–Stokes equation
... crete time, and in this paper we address similar questions in the continuous time setting; both papers include the possibility of only partial observations in Fourier ...Navier-Stokes ...
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APPLICATION OF THE KALMAN FILTER FOR ESTIMATING CONTINUOUS TIME TERM STRUCTURE MODELS: THE CASE OF UK AND GERMANY. January, 2005
... Introduction Term structure modelling can explore two distinct, but related ...the term structure and addresses the issue of how bond yields evolve over ...the term structure is ...
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Quadratic Term Structure Models in Discrete Time
... discrete time setting also o¤ers advantages over the continuous time ...over time. The discrete time setting provides much ‡exibility in specifying the market price of risk while the ...
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A space-time continuous finite element method for 2D viscoelastic wave equation
... Full list of author information is available at the end of the article Abstract In this article, we establish a space-time continuous finite element (STCFE) method for viscoelastic wave equation. The ...
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Global in time existence of solutions for the heat equation with a superlinear source term
... Workshop on Nonlinear Parabolic PDEs Institut Mittag-Leffler, 11–15 June.. Idea of the proof[r] ...
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Time dependent multi-term solution of Boltzmann’s equation for magnetised low
... first time dependent multi-term solution of Boltzmann’s equation for charged particles in gases under the in- fluence of electric and magnetic ...a time dependent weight function to ...
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Coupled State-Dependent Riccati Equation Control for Continuous Time Nonlinear Mechatronics Systems
... finite time nonlinear quadratic regulator/𝐻𝐻 ∞ SDRE control method is ...infinity time quadratic regulator/𝐻𝐻 ∞ SDRE control method is presented in Section ...Riccati equation controller ...
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Time-Varying Volatility and the Dynamic Behavior of the Term Structure
... We investigate: (1) whether or not the model can generate plausible shapes for the yield curve, (2) the relationship between the level of volatility in the bill market and the position a[r] ...
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A new structure for current-mode continuous time Gm-C filters
... proposed structure using methods of a) input current distribution b) direct summation c) indirect summation of output currents ...basic structure in such a way to provide an overall output as the sum of ...
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