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Modelling Inflation As A Random Process

Author

Listed:
  • S. RAWAL

    (Department of Mathematical Sciences, Brunel University, Uxbridge, Middlesex UB8 3PH, UK)

  • G. J. RODGERS

    (Department of Mathematical Sciences, Brunel University, Uxbridge, Middlesex UB8 3PH, UK)

Abstract

We introduce a model of inflation in which the prices of commodities are inflated by a random process. At each time step a pricexis selected with a rate ofxαand is inflated by a factor of1/βwhere0 0, in the long time limit, only the highest price inflates. Forα

Suggested Citation

  • S. Rawal & G. J. Rodgers, 2003. "Modelling Inflation As A Random Process," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(08), pages 821-827.
    • Handle: RePEc:wsi:ijtafx:v:06:y:2003:i:08:n:s0219024903002225
    DOI: 10.1142/S0219024903002225
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