Stochastic Process Switching: Some Simple Solutions
用受控布朗运动技术，推导出政策反应函数可能变化时的资产价格解析解，重点分析汇率钉住承诺下的均衡问题。
When changes in the economic policy regime occur stochastically, asset prices will reflect the possibility of such shifts. In this paper we apply techniques of regulated Brownian motion to obtain closed-form analytic price solutions when policy reaction functions are subject to prospective changes. We focus on the case in which the authorities promise to peg a currency's exchange rate once it reaches a predetermined future level. We also show how an open-ended commitment to exchange-rate targeting may lead to multiple equilibria.