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Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)
D Marinucci and Peter M Robinson
It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a ...Read more...
Theoretical Economics Paper
The Optimal Consumption Function in a Brownian Model of Accumulation Part A: The Consumption Function as Solution of a Boundary Value Problem
We consider a neo-classical model of optimal economic growth with c.r.r.a. utility in which the traditional deterministic trends representing population growth, technological progress, depreciation and impatience are rep...Read more...