Search Results - subject:"Invariant measures"

The principle of minimum differentiation revisited: Return of the median voter

Hanaki, Nobuyuki; Tanimura, Emily; Vriend, Nicolaas J. - 2016

We study a linear location model (Hotelling, 1929) in which n (with n ≥ 2) boundedly rational players follow (noisy) myopic best-reply behavior. We show through numerical and mathematical analysis that such players spend almost all the time clustered together near the center, re-establishing...

Persistent link: https://www.econbiz.de/10011796516

The principle of minimum differentiation revisited : return of the median voter

Hanaki, Nobuyuki; Tanimura, Emily; Vriend, Nicolaas J. - 2016

We study a linear location model (Hotelling, 1929) in which n (with n = 2) boundedly rational players follow (noisy) myopic best-reply behavior. We show through numerical and mathematical analysis that such players spend almost all the time clustered together near the center, re-establishing the...

Persistent link: https://www.econbiz.de/10011447055

The Principle of Minimum Differentiation revisited : return of the median voter

Hanaki, Nobuyuki; Tanimura, Emily; Vriend, Nicolaas J. - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 145-170

Persistent link: https://www.econbiz.de/10012138479

Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations

Brzeźniak, Zdzisław; Kok, Tayfun - In: Finance and stochastics 22 (2018) 4, pp. 959-1006

Persistent link: https://www.econbiz.de/10011946590

A numerical scheme for invariant distributions of constrained diffusions

Budhiraja, Amarjit; Chen, Jiang; Rubenthaler, Sylvain - In: Mathematics of operations research 39 (2014) 2, pp. 262-289

Persistent link: https://www.econbiz.de/10010384214

The Stochastic Dynamics of Speculative Prices

Chiarella, Carl; He, Xue-Zhong; Zheng, Min - Finance Discipline Group, Business School - 2007

by the invariant measures of a random dynamical system. By conducting a stochastic bifurcation analysis, we examine the … than two invariant measures, of which one is completely stable, another is completely unstable and the remaining ones may … invariant measures of a random dynamical system. By con- ducting a stochastic bifurcation analysis, we examine the market impact …

Persistent link: https://www.econbiz.de/10005041741

Uniqueness, recurrence and decay properties of collision branching processes with immigration

Wang, Juan; Li, Junping - In: Statistics & Probability Letters 83 (2013) 7, pp. 1603-1612

of the corresponding q-matrix. Finally, the invariant vectors and invariant measures are considered. …

Persistent link: https://www.econbiz.de/10011039998

Large deviations for invariant measures of SPDEs with two reflecting walls

Zhang, Tusheng - In: Stochastic Processes and their Applications 122 (2012) 10, pp. 3425-3444

In this article, we establish a large deviation principle for invariant measures of solutions of stochastic partial …

Persistent link: https://www.econbiz.de/10010875088

Exit time and invariant measure asymptotics for small noise constrained diffusions

Biswas, Anup; Budhiraja, Amarjit - In: Stochastic Processes and their Applications 121 (2011) 5, pp. 899-924

. Under suitable stability assumptions small noise asymptotic properties of invariant measures and exit times from domains are …

Persistent link: https://www.econbiz.de/10011065124

The stochastic bifurcation behaviour of speculative financial markets

Chiarella, Carl; He, Xue-Zhong; Wang, Duo; Zheng, Min - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3837-3846

This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined...

Persistent link: https://www.econbiz.de/10010872166