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Predicción de variables económicas: Ecuaciones diferenciales estocásticas de Itô



    (Universidad de Murcia)


    (Universidad de Murcia)


    (Universidad de Murcia)


En este trabajo se utilizan los procesos log-normales multidimensionales con factores exógenos, entendidos como procesos de Itô, como metodología para modelizar el comportamiento temporal de la variable bidimensional (Gasto Público Nacional, Gasto Privado Nacional). Se estudian la existencia y unicidad de soluciones y se resuelve la E.D.E. que gobierna este tipo de procesos, obteniendo la expresión analítica de los mismos y todas sus propiedades estadísticas, en particular su función de densidad de transición y los momentos de las distribuciones p-dimensionales. Se aplican los resultados obtenidos para estudiar las características de la variable considerada y efectuar predicciones sobre la misma. In this article the problem of modelling the inter-temporal behaviour of a bi-dimensional variable (Spanish Public and Private Spending in this case) is faced by considering it as a log-normal multidimensional process with exogenous factors, taken as an Itô process. The stochastic differential equation that governs it is solved and the existence and uniqueness of its solutions is studied. Particular emphasis is put on the analytic expression of the transition density function and the moments of its pdimensional distributions. The results, so obtained are applied to the study of the characteristic of the variable being considered and of its prediction function.

Suggested Citation

  • Gómez García, J. & Buendía Moya, F. & Palacios Sanchez, M.A., 2000. "Predicción de variables económicas: Ecuaciones diferenciales estocásticas de Itô," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 15, pages 75-102, Agosto.
  • Handle: RePEc:lrk:eeaart:15_2_5

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    References listed on IDEAS

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    More about this item


    Stochastic differential equation; Itô processes; log-normal multidimensional diffusion.;

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools


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