Production Technologies in Stochastic Continuous Time Models

16 Pages Posted: 9 Dec 2009

See all articles by Klaus Wälde

Klaus Wälde

University of Mainz; CESifo (Center for Economic Studies and Ifo Institute); UCL at Louvain la Neuve

Date Written: October 2009

Abstract

Properties of dynamic stochastic general equilibrium models can be revealed by either using numerical solutions or qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed-form solutions. Closed-form solutions are known for a large class of models some of which, however, have some undesirable features. This paper offers closed-form solutions for models which are just as tractable but do not suffer from these shortcomings.

Keywords: dynamic stochastic general equilibrium models, closed-form solution, continuous time, jump diffusion

JEL Classification: E20, O40

Suggested Citation

Wälde, Klaus, Production Technologies in Stochastic Continuous Time Models (October 2009). CESifo Working Paper Series No. 2831, Available at SSRN: https://ssrn.com/abstract=1494872

Klaus Wälde (Contact Author)

University of Mainz ( email )

Mainz School of Management and Economics
Mainz, 55128
Germany
+49 6131 3920143 (Phone)

HOME PAGE: http://www.waelde.com

CESifo (Center for Economic Studies and Ifo Institute)

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Munich, DE-81679
Germany

UCL at Louvain la Neuve

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Louvain-la-Neuve, 1348
Belgium

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