Accession Number : AD0857548
Title : A Review of some Applications of Stochastic Processes in Economic Theory.
Descriptive Note : Master's thesis,
Corporate Author : AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH SCHOOL OF ENGINEERING
Personal Author(s) : Peterson, Maxie Joel
Report Date : JUN 1969
Pagination or Media Count : 48
Abstract : In the paper, two stochastic economic models are reviewed. It contains a review of a simple market with a stochastic adjustment mechanism which yields price deviation as a finite homogeneous Markov chain (random walk) which is identical to the Ehrenfest model of diffusion. An extension is developed with the result that the price deviation process is a denumerably infinite homogeneous Markov chain. Limits are taken in a certain way to obtain continuous time and state diffusion processes. A stochastic capital growth process is investigated, and economic implications are discussed. The stochastic model employed is a linear birth and death process with immigration (Kendall Process). Some restrictions of this process together with suggested modifications for extensions are also discussed. (Author)
Descriptors : (*ECONOMICS, STOCHASTIC PROCESSES), MATHEMATICAL MODELS, MONEY, COMMERCE, STATISTICAL PROCESSES, DISTRIBUTION FUNCTIONS, THESES.
Subject Categories : Economics and Cost Analysis
Distribution Statement : APPROVED FOR PUBLIC RELEASE