A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....

The paper gives conditions under which stationary distributions of Markov models depend continuously on the parameters. It extends a well-known parametric continuity theorem for compact state space to the unbounded setting of standard econometrics and time series analysis. Applications to...

Statistical scientists have recently focused sharp attention on properties of iterated chaotic maps, with a view to employing such processes to model naturally occurring phenomena. In the present paper we treat the logistic map, which has earlier been studied in the context of modelling...

A theoretical curiosity remains in the Huggett [1993] model as to the possible existence of a unique and degenerate stationary distribution of agent types. This coincides with the possibility that an equilibrium individual state space may turn out to be trivial in the sense that every agent...

This paper provides an explicit construction of the Fleming-Viot process with viability selection in a Bayesian nonparametric framework, and derives its stationary distribution. The measure-valued diffusion is obtained as the infinite population limit of the empirical measures of a semi-Markov...

The stationary distribution of a birth and death process may not be approximated by a diffusion. The general situation is illustrated on the "musical chairs" model by Binmore et al. (1995). <p>This model is shown to generate outcomes which are not captured by the concept of the ultralong run...</p>

Let <InlineEquation ID="Equ1"> <EquationSource Format="TEX"><![CDATA[$\{X_j\}^\infty_0$]]></EquationSource> </InlineEquation> be a Markov chain with a unique stationary distribution <InlineEquation ID="Equ2"> <EquationSource Format="TEX"><![CDATA[$\pi$]]></EquationSource> </InlineEquation>. Let h be a bounded measurable function. Write <InlineEquation ID="Equ3"> <EquationSource Format="TEX"><![CDATA[$\lambda_{h}=\int hd\pi$]]></EquationSource> </InlineEquation> and <InlineEquation ID="Equ4"> <EquationSource Format="TEX"><![CDATA[$\hat{\lambda}_{hn}=\frac{1}{(n+1)}\sum^n_0h(X_j)$]] ></EquationSource> </InlineEquation>. This paper explores conditions for the <InlineEquation ID="Equ5"> <EquationSource Format="TEX"><![CDATA[$\sqrt{n}$]]></EquationSource> </InlineEquation> consistency and asymptotic normality of the estimate of <InlineEquation ID="Equ6"> <EquationSource Format="TEX"><![CDATA[$\hat{\lambda}_{hn}$]]></EquationSource> </InlineEquation> of <InlineEquation ID="Equ7"> <EquationSource Format="TEX"><![CDATA[$\lambda_h$]]></EquationSource> </InlineEquation> assuming the existence of a solution to the Poisson equation <InlineEquation ID="Equ8"> <EquationSource Format="TEX"><![CDATA[$h - \lambda_h=g-Pg$]]></EquationSource> </InlineEquation>....</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>

This paper explores the welfare effects of a reduction in the inflation rates in an environment of incomplete markets. We built a dynamic heterogeneous agent model that features idiosyncratic risks in the labor supply and liquidity frictions. The model shows that a disinflation policy results in...