Semimartingale dynamics for a backward exchange rate process  

作　　者：Gregory Gagnon 

机构地区：[1]Department of Economics,University of Toronto Mississauga,3359 Mississauga Road,Mississauga,Ontario,L5L 1C6,Canada

出　　处：《Probability, Uncertainty and Quantitative Risk》2024年第3期371-388,共18页概率、不确定性与定量风险（英文）

摘　　要：Via a forward SDE solution(k_(t),t≥O)that captures money supply dynamics,a macroeconomic model known as the monetary model generates a backward exchange rate process(y_(t),t≥0).For any t≥0,y_(t)=k_(t)+α^(-1)μ_(t) where(μ_(t),t≥0)is a backward process andα>0 is a constant.Thus,(y_(t),t≥O)does not satisfy a conventional BSDE.Our paper proves(y_(t),t≥O)is a continuous semimartingale when restrictions on the SDE for(k_(t),t≥O)capture anti-inflationary initiatives.This new result in economic dynamics does not require the filtration to be the Brownian filtration.

关 键 词：Backward process SEMIMARTINGALE Anti-inflationary SDE policy 

分 类 号：O21[理学—概率论与数理统计]