AN ERGODIC CAPITALIZATION PROCESS.
Abstract
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)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 1970
- Accession Number
- AD0711460
Entities
People
- Edmund H. Mantell
Organizations
- Institute for Defense Analyses