Search Results - subject:"Random dynamical systems"

Bhattacharya, Rabi; Majumdar, Mukul - In: Review of Economic Design 14 (2010) 1, pp. 185-192

Persistent link: https://www.econbiz.de/10008624668

Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices

Bohm, Volker; Chiarella, Carl - Finance Discipline Group, Business School - 2000

This paper analyzes the dynamics of a general explicit random price process of finitely many assets in an economy with overlapping generations of heterogeneous consumers forming optimal portfolios, extending the one dimensional investigation of Bohm, Deutscher and Wenzelburger (2000). Consumers...

Persistent link: https://www.econbiz.de/10004984499

The stochastic bifurcation behaviour of speculative financial markets

Chiarella, Carl; He, Xue-Zhong; Wang, Duo; Zheng, Min - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3837-3846

This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined...

Persistent link: https://www.econbiz.de/10010872166

Parameter estimation for random dynamical systems using slice sampling

Hatjispyros, S.J.; Nicoleris, Theodoros; Walker, Stephen G. - In: Physica A: Statistical Mechanics and its Applications 381 (2007) C, pp. 71-81

We provide details on the full reconstruction of the dynamic equations from measured time series data, given the general class of the underlying physical process. Our results can be used by researchers in physical modelling and statistical mechanics interested in an efficient estimation of low...

Persistent link: https://www.econbiz.de/10010874877

Random dynamical systems: a review

Bhattacharya, Rabi; Majumdar, Mukul - In: Economic Theory 23 (2003) 1, pp. 13-38

This paper provides a review of some results on the stability of random dynamical systems and indicates a number of …

Persistent link: https://www.econbiz.de/10005155392

Sample-Path Stability of Non-Stationary Dynamic Economic Systems

Schenk-Hoppé, Klaus Reiner - Institut für Volkswirtschaftslehre, …

for non-stationary random dynamical systems which is proved here. The concept and the theorem are thoroughly explained and … dynamical systems and apply the concept of a random fixed point which is tailor-made for the study of the long-term behavior of … nonlinear stochastic economic models with non-stationary components. We place our study within the mathematical theory of random …

Persistent link: https://www.econbiz.de/10005627840

Random Fixed Points in a Stochastic Solow Growth Model

Schenk-Hoppé, Klaus Reiner; Schmalfuss, Björn - Institut für Volkswirtschaftslehre, …

ergodic random variables. Applying random dynamical systems theory, we prove that the dynamics and, in particular, the long …

Persistent link: https://www.econbiz.de/10005627867

Financial Markets and Stochastic Growth

Mirman, Leonard J.; Schenk-Hoppé, Klaus Reiner - Institut für Volkswirtschaftslehre, …

In this paper, we study the effect of financial markets on the investment of a two-good two-country economy with stochastic production in a dynamic framework. Each country produces and invests only one good and, therefore, makes decisions as a central planner in an optimal growth model. Trade...

Persistent link: https://www.econbiz.de/10005627989

Business Cycle Phenomena in Overlapping Generations Economies with Stochastic Production

Peter, Jens-Ulrich; Schenk-Hoppé, Klaus Reiner - Institut für Volkswirtschaftslehre, …

. Applying random dynamical systems theory, we can prove that the long-run behavior of the economy is uniquely described by an …

Persistent link: https://www.econbiz.de/10005627996

Is There a Golden Rule for the Stochastic Solow Growth Model ?

Schenk-Hoppé, Klaus Reiner - Institut für Volkswirtschaftslehre, …

This paper analyzes the dependence of average consumption on the saving rate in a one-sector neoclassical Solow growth model with pro-duction shocks and stochastic rates of population growth and depreciation where arbitrary ergodic processes are considered. We show that the long-run behavior of...

Persistent link: https://www.econbiz.de/10005628011