具有终端条件和均值回复基本面的汇率目标区模型
An Exchange Rate Target Zone Model with a Terminal Condition and Mean-Reverting Fundamentals
AI总结：
本文提出一个具有终端条件的汇率目标区模型，通过比较布朗运动和奥本-乌尔亨贝克过程的解法，探讨了汇率受基本面影响的动态行为。
摘要：
本文提出一个具有终端条件的汇率目标区模型，假设汇率是基本面和时间的函数。模型假设基本面被限制在某个区间内，并满足终端条件。基本面通过受监管的布朗运动和奥本-乌尔亨贝克过程两种方式指定。对于布朗运动过程，得到了闭式解；而对于奥本-乌尔亨贝克过程，由于没有闭式解，因此采用数值方法求解。两种规格进行了数值比较。
英文摘要：
This paper proposes a target zones exchange rate model with a terminal condition of entering a currency zone. It is assumed that the exchange rate is a function of the fundamental and time. Another essential assumptions of the model is that the fundamental process is bounded inside a band and that terminal condition for the exchange rate holds. The fundamental is specified in two ways: as a regulated Brownian motion and Ornstein-Uhlenbeck processes. For the case of the Brownian motion process the closed form solution of the problem is obtained, whereas for the Ornstein-Uhlenbeck process the closed form solution does not exist, therefore we had to use numerical method for solving of the problem. Both specifications are compared numerically.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
