Related papers: A Stochastic Capital-Labour Model with Logistic Gr…
In this paper we develop a general framework to analyze stochastic dynamic problems with unbounded utility functions and correlated and unbounded shocks. We obtain new results of the existence and uniqueness of solutions to the Bellman…
We demonstrate the effectiveness of the logistic function to model the evolution of two economic systems. The first is the GDP and trade growth of the USA, and the second is the revenue and human resource growth of IBM. Our modelling is…
In this paper we investigate a stochastic model for an economic game. To describe this model we have used a Wiener process, as the noise has a stabilization effect. The dynamics are studied in terms of stochastic stability in the stationary…
In this paper we focus on spatial Markov population models, describing the stochastic evolution of populations of agents, explicitly modelling their spatial distribution, representing space as a discrete, finite graph. More specifically, we…
Population dynamics reflects an underlying birth-death process, where the rates associated with different events may depend on external environmental conditions and on the population density. A whole family of simple and popular…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
Recent research in economic theory attempts to study optimal economic growth and spatial location of economic activity in a unified framework. So far, the key result of this literature - asymptotic convergence, even in the absence of…
The recent interest in human dynamics has led researchers to investigate the stochastic processes that explain human behaviour in different contexts. Here we propose a generative model to capture the essential dynamics of survival analysis,…
This paper deals with the stability properties of a closed market, where capital and labour force are acting like a predator-prey system in population-dynamics. The spatial movement of the capital and labour force are taken into account by…
This article studies the quasi-stationary behaviour of population processes with unbounded absorption rate, including one-dimensional birth and death processes with catastrophes and multi-dimensional birth and death processes, modeling…
This paper investigates a class of stochastic Logistic harvesting models driven by tempered stable processes, with a one-sided power-law L\'evy measure. We establish threshold conditions for population extinction and persistence, prove the…
We study stochastic extinction for a class of Markov processes motivated by models in ecology and epidemiology. Extinction is often characterized by a boundedness condition and a condition on boundary Lyapunov exponents (invasion rates).…
We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. In this setting, we develop…
We consider the extinction regime in the spatial stochastic logistic model in $\mathbb{R}^d$ (a.k.a. Bolker--Pacala--Dieckmann--Law model of spatial populations) using the first-order perturbation beyond the mean-field equation. In space…
An infinite population of point entities dwelling in the habitat $X=\mathds{R}^d$ is studied. Its members arrive at and depart from $X$ at random. The departure rate has a term corresponding to a logistic-type interaction between the…
In this paper we study the effect of randomness on a linearized BGK-model in one dimension. We prove exponential decay rate to a global equilibrium. This decay rate can be proven to be independent of the stochastic influence in a physical…
Logarithmic growth-rates are fundamental observables for describing ecological systems and the characterization of their distributions with analytical techniques can greatly improve their comprehension. Here a neutral model based on a…
We present several models to describe the stochastic evolution of stocks that show some strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
Models of population growth and extinction are an increasingly popular subject of study. However, consequences of stochasticity and noise in shaping distributions and outcomes are not sufficiently explored. Here we consider a distributed…