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Research on nonlinear stochastic dynamical price model

Author

Listed:
  • Li, Jiaorui
  • Xu, Wei
  • Xie, Wenxian
  • Ren, Zhengzheng

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.

Suggested Citation

  • Li, Jiaorui & Xu, Wei & Xie, Wenxian & Ren, Zhengzheng, 2008. "Research on nonlinear stochastic dynamical price model," Chaos, Solitons & Fractals, Elsevier, vol. 37(5), pages 1391-1396.
    • Handle: RePEc:eee:chsofr:v:37:y:2008:i:5:p:1391-1396
    DOI: 10.1016/j.chaos.2006.10.036
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    References listed on IDEAS

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    1. Li, Jiaorui & Xu, Wei, 2005. "Stochastic stabilization of first-passage failure of Rayleigh oscillator under Gaussian White-Noise parametric excitations," Chaos, Solitons & Fractals, Elsevier, vol. 26(5), pages 1515-1521.
    2. Li, Wei & Xu, Wei & Zhao, Junfeng & Jin, Yanfei, 2007. "Stochastic stability and bifurcation in a macroeconomic model," Chaos, Solitons & Fractals, Elsevier, vol. 31(3), pages 702-711.
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    Cited by:

    1. Bigdeli, N. & Afshar, K., 2009. "Chaotic behavior of price in the power markets with pay-as-bid payment mechanism," Chaos, Solitons & Fractals, Elsevier, vol. 42(4), pages 2560-2569.

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