The Stationary Distribution of Autonomous Ito Process
AbstractThis paper outlines the conditions under which the stationary probability distribution function (PDF) of an autonomous Ito process stochastic diffirential equation (SDE) belongs to the generalized exponential family (GEF) of densities and the interaction between economic equilibria and stationary PDF modes.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 510.
Length: 23 pages
Date of creation: 1996
Date of revision:
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Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
Fax: +61 3 8344 6899
Web page: http://www.economics.unimelb.edu.au
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ECONOMIC THEORY; ECONOMIC MODELS;
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