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On the Distribution and covariance structure of the present value of a random income stream
Published online by Cambridge University Press: 14 July 2016
Abstract
The present value is studied when I(t) is a stationary random income stream. The stationary distribution of V(t) for a family of simple streams modeled by stationary finite Markov chains is given explicitly. The process V(t) is shown to be observable in a special sense when I(t) is time-reversible.
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- Copyright © Applied Probability Trust 1982
Footnotes
Work supported in part by the U.S. Air Force, Office of Scientific Research under grant No. AFOSR-79–0043.
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