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- Title
Non-stationary, stable Markov processes on a continuous state space.
- Authors
Nielsen, Carsten Krabbe
- Abstract
We extend our previous result on simple stable Markov (SSM) processes to the case where the state space is continuous. As anapplication we show the existence of a competitive general equilibrium of a cobweb model where price volatility is generated both by exogenous shocks and by stochastic, so called generating variables (that may be interpreted as sunspots) that govern the correlation of the rational beliefs of individual agents.
- Subjects
MARKOV processes; STOCHASTIC processes; EXCESSIVE measures (Mathematics); EQUILIBRIUM; SUNSPOTS; SOLAR activity; MARKET volatility; FINANCIAL risk; HEDGING (Finance)
- Publication
Economic Theory, 2009, Vol 40, Issue 3, p473
- ISSN
0938-2259
- Publication type
Article
- DOI
10.1007/s00199-008-0377-1