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The Stationary Distribution of Autonomous Ito Process

Author

Listed:
  • Bakker, A.

Abstract

This 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.

Suggested Citation

  • Bakker, A., 1996. "The Stationary Distribution of Autonomous Ito Process," Department of Economics - Working Papers Series 510, The University of Melbourne.
    • Handle: RePEc:mlb:wpaper:510
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    More about this item

    Keywords

    ECONOMIC THEORY; ECONOMIC MODELS;

    JEL classification:

    • B10 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - General
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • C79 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Other

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