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VOL. 53 | 2009 Asymptotic behaviour of a nonlinear stochastic difference equation modelling an inefficient financial market
John A. D. Appleby, Catherine Swords

Editor(s) Saber Elaydi, Kazuo Nishimura, Mitsuhiro Shishikura, Nobuyuki Tose

Abstract

This note studies the asymptotic behaviour of linear and nonlinear stochastic difference equations whose structure is motivated by a financial market model. The asymptotic results show that the models can produce behaviour consistent with random walk efficient markets as well as bubbles or crashes.

Information

Published: 1 January 2009
First available in Project Euclid: 28 November 2018

zbMATH: 1183.91191
MathSciNet: MR2582400

Digital Object Identifier: 10.2969/aspm/05310011

Rights: Copyright © 2009 Mathematical Society of Japan

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