Forthcoming, Environmental and Resource Economics (2024)
Journal of Mathematical Economics (2023)
We study stochastic differential equations whose solutions behave according to skewed Gaussian distributions. We uncover a wide new class of diffusions characterized by a Brownian motion with a non-homogeneous drift, obtained via generalized h-transforms of a new class of local martingales. These diffusions are interpretable as partially observable Brownian motions, and can be used as skew-inducing noise sources for any Ito process.
Irrigation schemes are one of the most important policy responses designed to reduce poverty, particularly in sub-Saharan Africa. Concomitantly, they facilitate the propagation of schistosomiasis, a water-based debilitating disease that is endemic in …
Infectious Diseases of Poverty (2021)
Journal of Mathematical Economics (2020)
A model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented by a jump diffusion.