AN ERGODIC CAPITALIZATION PROCESS.
INSTITUTE FOR DEFENSE ANALYSES ARLINGTON VA PROGRAM ANALYSIS DIV
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A stochastic process is defined and characterized as a negative exponential renewal process representing the capitalized value of a stream of money constant payments occurring at continuous randomly varying time intervals. The analysis consists of a complete description of the asymptotic properties of very generalized distributions as the rate of discount approaches zero. The main result is a central limit theorem demonstrating that the standardized distribution of the capitalized stream converges on the unit normal as the discount rate approaches zero in the limit. Author
- Economics and Cost Analysis
- Operations Research