Moment Equations in Modeling a Stable Foreign Currency Exchange Market in Conditions of Uncertainty

Josef Diblík, Irada Dzhalladova, Mária Michalková and Miroslava Růžičková

Abstract and Applied Analysis, 2013, vol. 2013, issue 1

Abstract: The paper develops a mathematical model of foreign currency exchange market in the form of a stochastic linear differential equation with coefficients depending on a semi‐Markov process. The boundaries of the domain of its instability is determined by using moment equations.

Date: 2013
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https://doi.org/10.1155/2013/172847

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:172847

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