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On Misapplications of Diffusion Approximations in Birth and Death Processes of Noisy Evolution

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Y.M. Kaniovski

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Abstract

Birth and death processes with a finite number of states are used in modeling different kinds of noisy learning processes in economics. To analyze the long run properties one looks a the corresponding stationary distribution. When the number of states is large, the stationary distribution becomes bulky and difficult to analyze. To simplify the analysis in such a situation and hence to make the long run properties of the learning process more transparent, a diffusion approximation has been suggested. Unfortunately, quite often such such approximation is not correctly done. Why this happens and how the situation can be fixed is discussed in this note.

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Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number ir98050.

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Date of creation: Aug 1998
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Handle: RePEc:wop:iasawp:ir98050

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  1. Binmore Kenneth G. & Samuelson Larry & Vaughan Richard, 1995. "Musical Chairs: Modeling Noisy Evolution," Games and Economic Behavior, Elsevier, vol. 11(1), pages 1-35, October. [Downloadable!] (restricted)
  2. repec:att:wimass:199324 is not listed on IDEAS
  3. Y.M. Kaniovski & G.C. Pflug, 1997. "Limit Theorems for Stationary Distributions of Birth-and-Death Processes," Working Papers ir97041, International Institute for Applied Systems Analysis. [Downloadable!]
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