| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5055086 | Economic Modelling | 2012 | 5 Pages |
Abstract
This paper provides analytical solutions and regularity results for some second order PDEs of degenerate elliptic type. The motivation is to study several economic models with uncertainty where the variables are constrained by constant barriers.
⺠A mathematical framework for several stochastic dynamic models in economics. ⺠Models with an infinite horizon and state variables following a GBM are included. ⺠Such problems are hard to solve when there are several variables with constraints. ⺠We provide an explicit solution method. ⺠Further mathematical properties are studied.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
R. Agliardi, P. Popivanov, A. Slavova,