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Dynamic interaction models of economic equilibrium

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  • Igor Evstigneev
  • Michael Taksar

Abstract

The paper develops a stochastic dynamic model of economic equilibrium with locally interacting agents. The main focus of the study is on the modeling of market interactions - those arising in connection with commodity exchange and regulated by price mechanisms. The mathematical framework is a control theory for random vector fields on directed graphs. The graphs involved serve to describe the spatio-temporal structure of commodity flows in the system. The main results are concerned with the existence, uniqueness and stability of stochastic dynamic equilibria.
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  • Igor Evstigneev & Michael Taksar, 2006. "Dynamic interaction models of economic equilibrium," Economics Discussion Paper Series 0623, Economics, The University of Manchester.
    • Handle: RePEc:man:sespap:0623
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    1. Barunik, J. & Vosvrda, M., 2009. "Can a stochastic cusp catastrophe model explain stock market crashes?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(10), pages 1824-1836, October.

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