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
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE