Research on nonlinear stochastic dynamical price model

Jiaorui Li, Wei Xu, Wenxian Xie and Zhengzheng Ren

Chaos, Solitons & Fractals, 2008, vol. 37, issue 5, 1391-1396

Abstract: In consideration of many uncertain factors existing in economic system, nonlinear stochastic dynamical price model which is subjected to Gaussian white noise excitation is proposed based on deterministic model. One-dimensional averaged Itô stochastic differential equation for the model is derived by using the stochastic averaging method, and applied to investigate the stability of the trivial solution and the first-passage failure of the stochastic price model. The stochastic price model and the methods presented in this paper are verified by numerical studies.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:37:y:2008:i:5:p:1391-1396

DOI: 10.1016/j.chaos.2006.10.036

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