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Stochastic mean values, rational expectations, and price movements

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  • Flam, Sjur Didrik
  • Horvath, Charles

Abstract

Numerous economic problems assume the form of finding a fixed point of a continuous self-mapping on a compact interval. We consider instances where the mapping is a parametrized expected value, and we offer an iterative scheme for locating a fixed point. The proposed method can be seen as an adaptive learning method, akin to stochastic approximation.
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Suggested Citation

  • Flam, Sjur Didrik & Horvath, Charles, 1998. "Stochastic mean values, rational expectations, and price movements," Economics Letters, Elsevier, vol. 61(3), pages 293-299, December.
    • Handle: RePEc:eee:ecolet:v:61:y:1998:i:3:p:293-299
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    References listed on IDEAS

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    1. Flam, Sjur Didrik, 1998. "Averaged predictions and the learning of equilibrium play," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 833-848, June.
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    Cited by:

    1. Sjur Didrik Flåm, 2002. "Convexity, Differential Equations, and Games," CESifo Working Paper Series 655, CESifo.

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    1. Sjur Didrik Flåm, 2002. "Convexity, Differential Equations, and Games," CESifo Working Paper Series 655, CESifo.

    More about this item

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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