Price equilibrium stochastic analysis

被引：0

作者：

Leidman, M ^{[1
]}

Tsarkov, Y ^{[1
]}

Pocs, R ^{[1
]}

机构：

[1] Riga Tech Univ, Inst Informat Technol, LV-1048 Riga, Latvia

来源：

6TH WORLD MULTICONFERENCE ON SYSTEMICS, CYBERNETICS AND INFORMATICS, VOL XVI, PROCEEDINGS: COMPUTER SCIENCE III | 2002年

关键词：

price equilibrium; stochastic stability; adaptive market;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

The paper deals with an adaptive sincle-component market, taking into account a time delay in supply and permanent random perturbations of demand elasticity function. Our approach is based on stochastic calculus and second Lyapunov methods for stability analysis of stochastic functional differential equations. It allows not only to prove that time delay of supply exerts significant inuence on market price dynamics, but also to advance in stochastic stability analysis, calculating, dependence of maximal admissible price equilibrium volatility on demand and supply elasticity functions.

引用

页码：472 / 473

页数：2