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Stochastic Mean-Values, Rational Expectations, and Price Movements

Author

Listed:
  • Flam, S.D.
  • Horvath, C.

Abstract

Numerous economic problems assume the form of finding a fixed point of a continuous self-mapping on a compact interval. We consider instances where the mapping is a parametrized expected value, and we offer an iterative scheme for locating a fixed point. The proposed method can be seen as an adaptive learning method, akin to stochastic approximation.

Suggested Citation

  • Flam, S.D. & Horvath, C., 1998. "Stochastic Mean-Values, Rational Expectations, and Price Movements," Norway; Department of Economics, University of Bergen 0998, Department of Economics, University of Bergen.
    • Handle: RePEc:fth:bereco:0998
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    References listed on IDEAS

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    1. Flam, Sjur Didrik, 1998. "Averaged predictions and the learning of equilibrium play," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 833-848, June.
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    Cited by:

    1. Sjur Didrik Flåm, 2002. "Convexity, Differential Equations, and Games," CESifo Working Paper Series 655, CESifo.

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    1. Sjur Didrik Flåm, 2002. "Convexity, Differential Equations, and Games," CESifo Working Paper Series 655, CESifo.

    More about this item

    Keywords

    PRICES ; LEARNING ; EXPECTATIONS;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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