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~institution:"Departamento de Estadistica, Universidad Carlos III de Madrid"
~institution:"Université Paris-Dauphine (Paris IX)"
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Asymptotic Value
1
Bayesian inference
1
Birth-death process
1
COGARCH
1
Continuous Time
1
Continuous time
1
Continuous-time GARCH process
1
Counting Markov process
1
Data cloning
1
Environmental stochasticity
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GARCH
1
Hamilton-Jacobi equations
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Infinitesimal over-dispersion
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Lévy process
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MCMC algorithm
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Simultaneous events
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capital gains taxes
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continuous-time game
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incomplete information
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optimal consumption and investment in continuous time
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repeated games
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transaction costs
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viscosity solution
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viscosity solutions
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Cardaliaguet, Pierre
2
Ben Tahar, Imen
1
Bernal, M. T. Rodríguez
1
Bretó, Carles
1
Ionides, Edward L.
1
Laraki, Rida
1
Marín, J. Miguel
1
Rainer, Catherine
1
Romero, Eva
1
Soner, Mete H.
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Sorin, Sylvain
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Touzi, Nizar
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Departamento de Estadistica, Universidad Carlos III de Madrid
Université Paris-Dauphine (Paris IX)
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
14
CESifo
11
EconWPA
8
HAL
8
School of Economics and Management, University of Aarhus
8
Cowles Foundation for Research in Economics, Yale University
7
C.E.P.R. Discussion Papers
6
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
5
Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
5
Center for Financial Studies
4
Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
4
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
4
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
4
Økonomisk Institut, Københavns Universitet
4
Department of Economics, University of Pennsylvania
3
Economics Department, University of California-Santa Cruz (UCSC)
3
Institute of Business and Economic Research (IBER), Walter A. Haas School of Business
3
London School of Economics (LSE)
3
Society for Computational Economics - SCE
3
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
3
Volkswirtschaftslehre-Lehrstühle, Gutenberg School of Management and Economics
3
Center for Mathematical Studies in Economics and Management Science (CMS-EMS), Kellogg Graduate School of Management
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Collegio Carlo Alberto, Università degli Studi di Torino
2
Department of Applied Economics, Utah State University
2
Department of Economics and Business, Universitat Pompeu Fabra
2
Department of Economics, Adam Smith Business School
2
Department of Economics, University of Birmingham
2
Dipartimento di Economia e Management, Università degli Studi di Pisa
2
Dipartimento di Scienze Statistiche, Facoltà di Scienze Statistiche
2
Département Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), Institut National de la Recherche Agronomique (INRA)
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Fakultät Wirtschaftswissenschaften, Technische Universität Dresden
2
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2
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Institut für Makroökonomie und Konjunkturforschung (IMK), Hans Böckler Stiftung
2
Institut für Weltwirtschaft (IfW)
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Economics Papers from University Paris Dauphine
3
Statistics and Econometrics Working Papers
2
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RePEc
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1
Data cloning estimation of GARCH and COGARCH models
Marín, J. Miguel
;
Bernal, M. T. Rodríguez
;
Romero, Eva
-
Departamento de Estadistica, Universidad Carlos III de …
-
2013
discrete financial time series. In the last years,
continuous
time
models based on discrete GARCH models have been also …
Persistent link: https://www.econbiz.de/10010681694
Saved in:
2
Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems
Bretó, Carles
;
Ionides, Edward L.
-
Departamento de Estadistica, Universidad Carlos III de …
-
2011
-dispersed using previously studied indices. Compound processes arise, for example, when introducing
continuous-time
white noise to the …
Persistent link: https://www.econbiz.de/10009149967
Saved in:
3
A
Continuous
Time
Approach for the Asymptotic Value in Two-Person Zero-Sum Repeated Games
Cardaliaguet, Pierre
;
Laraki, Rida
;
Sorin, Sylvain
-
Université Paris-Dauphine (Paris IX)
-
2012
consists in embedding the discrete repeated game into a
continuous
time
one and to use viscosity solution tools. …
Persistent link: https://www.econbiz.de/10010708272
Saved in:
4
On a
Continuous-Time
Game with Incomplete Information
Cardaliaguet, Pierre
;
Rainer, Catherine
-
Université Paris-Dauphine (Paris IX)
-
2009
For zero-sum two-player
continuous-time
games with integral payoff and incomplete information on one side, the authors …
Persistent link: https://www.econbiz.de/10010707031
Saved in:
5
The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes
Soner, Mete H.
;
Touzi, Nizar
;
Ben Tahar, Imen
-
Université Paris-Dauphine (Paris IX)
-
2007
This paper considers an extension of the Merton optimal investment problem to the case where the risky asset is subject to transaction costs and capital gains taxes. We derive the dynamic programming equation in the sense of constrained viscosity solutions. We next introduce a family of...
Persistent link: https://www.econbiz.de/10010708096
Saved in:
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