IDEAS home Printed from https://ideas.repec.org/a/eee/chsofr/v37y2008i5p1391-1396.html
   My bibliography  Save this article

Research on nonlinear stochastic dynamical price model

Author

Listed:
  • Li, Jiaorui
  • Xu, Wei
  • Xie, Wenxian
  • Ren, Zhengzheng

Abstract

In consideration of many uncertain factors existing in economic system, nonlinear stochastic dynamical price model which is subjected to Gaussian white noise excitation is proposed based on deterministic model. One-dimensional averaged Itô stochastic differential equation for the model is derived by using the stochastic averaging method, and applied to investigate the stability of the trivial solution and the first-passage failure of the stochastic price model. The stochastic price model and the methods presented in this paper are verified by numerical studies.

Suggested Citation

  • Li, Jiaorui & Xu, Wei & Xie, Wenxian & Ren, Zhengzheng, 2008. "Research on nonlinear stochastic dynamical price model," Chaos, Solitons & Fractals, Elsevier, vol. 37(5), pages 1391-1396.
    • Handle: RePEc:eee:chsofr:v:37:y:2008:i:5:p:1391-1396
    DOI: 10.1016/j.chaos.2006.10.036
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0960077906010010
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.chaos.2006.10.036?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Li, Jiaorui & Xu, Wei, 2005. "Stochastic stabilization of first-passage failure of Rayleigh oscillator under Gaussian White-Noise parametric excitations," Chaos, Solitons & Fractals, Elsevier, vol. 26(5), pages 1515-1521.
    2. Li, Wei & Xu, Wei & Zhao, Junfeng & Jin, Yanfei, 2007. "Stochastic stability and bifurcation in a macroeconomic model," Chaos, Solitons & Fractals, Elsevier, vol. 31(3), pages 702-711.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bigdeli, N. & Afshar, K., 2009. "Chaotic behavior of price in the power markets with pay-as-bid payment mechanism," Chaos, Solitons & Fractals, Elsevier, vol. 42(4), pages 2560-2569.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Goharrizi, Amin Yazdanpanah & Khaki-Sedigh, Ali & Sepehri, Nariman, 2009. "Observer-based adaptive control of chaos in nonlinear discrete-time systems using time-delayed state feedback," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2448-2455.
    2. Jochen Jungeilges & Tatyana Ryazanova, 2018. "Output volatility and savings in a stochastic Goodwin economy," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(3), pages 355-380, December.
    3. Li Jiaorui & Li Shuang, 2015. "Dynamics of a Nonlinear Business Cycle Model Under Poisson White Noise Excitation," Journal of Systems Science and Information, De Gruyter, vol. 3(2), pages 176-183, April.
    4. Li, Wei & Huang, Dongmei & Zhang, Meiting & Trisovic, Natasa & Zhao, Junfeng, 2019. "Bifurcation control of a generalized VDP system driven by color-noise excitation via FOPID controller," Chaos, Solitons & Fractals, Elsevier, vol. 121(C), pages 30-38.
    5. Huang, Zaitang & Yang, Qigui & Cao, Junfei, 2011. "Complex dynamics in a stochastic internal HIV model," Chaos, Solitons & Fractals, Elsevier, vol. 44(11), pages 954-963.
    6. Zhao, Jun, 2019. "Nonstationary response of a nonlinear economic cycle model under random disturbance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 409-421.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:chsofr:v:37:y:2008:i:5:p:1391-1396. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thayer, Thomas R. (email available below). General contact details of provider: https://www.journals.elsevier.com/chaos-solitons-and-fractals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.