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Vestn. Udmurtsk. Univ. Mat. Mekh. Komp. Nauki, 2015, Volume 25, Issue 1, Pages 60–70 (Mi vuu465)  

This article is cited in 1 scientific paper (total in 1 paper)

MATHEMATICS

Analysis of stochastic dynamics in discrete-time macroeconomic Kaldor model

L. B. Ryashkoa, A. A. Sysolyatinab

a Department of Mathematical Physics, Institute of Mathematics and Computer Science, Ural Federal University, pr. Lenina, 51, Yekaterinburg, 620083, Russia
b Department of Econometrics and Statistics, Graduate School of Economics and Management, Ural Federal University, pr. Lenina, 51, Yekaterinburg, 620083, Russia

Abstract: The article deals with discrete Kaldor macroeconomic model under the random disturbances. It is shown that in the deterministic version of the model, there are different regimes of dynamics: equilibria, cycles, invariant curves, and chaos. A parametric description of the intervals of structural stability is given for these regimes and the corresponding bifurcations. Under the influence of stochastic perturbations around the deterministic attractors, the stationary probability distributions of random states are formed. To describe the dispersion of random states around equilibria and cycles, the stochastic sensitivity functions technique and the method of confidence ellipses are used. A dependence of the stochastic sensitivity of the system from parameters is studied. The phenomena generated by noise-induced transitions between coexisting attractors are discussed.

Keywords: discrete Kaldor model, business cycles, random perturbations, stochastic sensitivity function, noise-induced transitions, confidence ellipses.

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UDC: 517.925+519.216
MSC: 39A28, 93E03
Received: 15.01.2015

Citation: L. B. Ryashko, A. A. Sysolyatina, “Analysis of stochastic dynamics in discrete-time macroeconomic Kaldor model”, Vestn. Udmurtsk. Univ. Mat. Mekh. Komp. Nauki, 25:1 (2015), 60–70

Citation in format AMSBIB
\Bibitem{RyaSys15}
\by L.~B.~Ryashko, A.~A.~Sysolyatina
\paper Analysis of stochastic dynamics in discrete-time macroeconomic Kaldor model
\jour Vestn. Udmurtsk. Univ. Mat. Mekh. Komp. Nauki
\yr 2015
\vol 25
\issue 1
\pages 60--70
\mathnet{http://mi.mathnet.ru/vuu465}
\elib{http://elibrary.ru/item.asp?id=23142052}


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    This publication is cited in the following articles:
    1. I. A. Bashkirtseva, V. M. Nasyrova, L. B. Ryashko, I. N. Tsvetkov, “Indutsirovannaya shumom peremezhaemost i perekhod k khaosu v neironnoi modeli Rulkova”, Vestn. Udmurtsk. un-ta. Matem. Mekh. Kompyut. nauki, 26:4 (2016), 453–462  mathnet  crossref  mathscinet  elib
  • Вестник Удмуртского университета. Математика. Механика. Компьютерные науки
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