Exchange rate bifurcation in a stochastic evolutionary finance model

DOI10.1007/s10203-011-0113-3zbMath1264.91060OpenAlexW2076316179MaRDI QIDQ1938897

Gregory Gagnon

Publication date: 25 February 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-011-0113-3

zbMATH Keywords

stochastic differential equationevolutionary financespeculative bubble

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Stochastic impulse control of exchange rates with Freidlin–Wentzell perturbations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Evolutionary dynamics in markets with many trader types
• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
• Genetic learning as an explanation of stylized facts of foreign exchange markets
• An analysis of the effect of noise in a heterogeneous agent financial market model
• Additive noise destroys a pitchfork bifurcation
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Backward-forward stochastic differential equations
• Lyapunov exponents of linear stochastic functional differential equations. II: Examples and case studies
• Pathwise description of dynamic pitchfork bifurcations with additive noise
• Infinite horizon forward-backward stochastic differential equations
• Forward-backward stochastic differential equations with nonsmooth coefficients.
• A Model of Stochastic Process Switching

This page was built for publication: Exchange rate bifurcation in a stochastic evolutionary finance model