The stationary solution of a random dynamical model
This paper studies the stationary probability density function (PDF) solution of a nonlinear business cycle model subjected to random shocks of Gaussian white-noise type. The PDF solution is controlled by a Fokker–Planck–Kolmogorov (FPK) equation, and we use exponential polynomial closure (EPC) meth...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2014-01-01
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| Series: | Theoretical and Applied Mechanics Letters |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2095034915302890 |
| _version_ | 1811213478983106560 |
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| author | Wei Li Junfeng Zhao Natasa Trisovic Ruihong Li |
| author_facet | Wei Li Junfeng Zhao Natasa Trisovic Ruihong Li |
| author_sort | Wei Li |
| collection | DOAJ |
| description | This paper studies the stationary probability density function (PDF) solution of a nonlinear business cycle model subjected to random shocks of Gaussian white-noise type. The PDF solution is controlled by a Fokker–Planck–Kolmogorov (FPK) equation, and we use exponential polynomial closure (EPC) method to derive an approximate solution for the FPK equation. Numerical results obtained from EPC method, better than those from Gaussian closure method, show good agreement with the probability distribution obtained with Monte Carlo simulation including the tail regions. |
| first_indexed | 2024-04-12T05:47:24Z |
| format | Article |
| id | doaj.art-2eea5df822064189bcc3b946457cb472 |
| institution | Directory Open Access Journal |
| issn | 2095-0349 |
| language | English |
| last_indexed | 2024-04-12T05:47:24Z |
| publishDate | 2014-01-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Theoretical and Applied Mechanics Letters |
| spelling | doaj.art-2eea5df822064189bcc3b946457cb4722022-12-22T03:45:24ZengElsevierTheoretical and Applied Mechanics Letters2095-03492014-01-014110.1063/2.1401307The stationary solution of a random dynamical modelWei Li0Junfeng Zhao1Natasa Trisovic2Ruihong Li3School of Mathematics and Statistics, Xidian University, Xi'an 710071, ChinaDepartment of Applied Mathematics, Northwestern Polytechnical University, Xi'an 710072, ChinaDepartment of Mechanics, University of Belgrade, Belgrade 11120, SerbiaSchool of Mathematics and Statistics, Xidian University, Xi'an 710071, ChinaThis paper studies the stationary probability density function (PDF) solution of a nonlinear business cycle model subjected to random shocks of Gaussian white-noise type. The PDF solution is controlled by a Fokker–Planck–Kolmogorov (FPK) equation, and we use exponential polynomial closure (EPC) method to derive an approximate solution for the FPK equation. Numerical results obtained from EPC method, better than those from Gaussian closure method, show good agreement with the probability distribution obtained with Monte Carlo simulation including the tail regions.http://www.sciencedirect.com/science/article/pii/S2095034915302890Gaussian white-noisebusiness cyclestationary solution |
| spellingShingle | Wei Li Junfeng Zhao Natasa Trisovic Ruihong Li The stationary solution of a random dynamical model Theoretical and Applied Mechanics Letters Gaussian white-noise business cycle stationary solution |
| title | The stationary solution of a random dynamical model |
| title_full | The stationary solution of a random dynamical model |
| title_fullStr | The stationary solution of a random dynamical model |
| title_full_unstemmed | The stationary solution of a random dynamical model |
| title_short | The stationary solution of a random dynamical model |
| title_sort | stationary solution of a random dynamical model |
| topic | Gaussian white-noise business cycle stationary solution |
| url | http://www.sciencedirect.com/science/article/pii/S2095034915302890 |
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