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博文

目前显示的是标签为“Brownian Motion”的博文

A Dynamic Cournot Model with Brownian Motion

Read  full  paper  at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=53758#.VNHQnCzQrzE Author(s)  Hyungho Youn 1 , Victor J. Tremblay 2   Affiliation(s) 1 Seoul Institute, Seoul, Korea . 2 Oregon State University, Corvallis, USA . ABSTRACT In this paper we develop a stochastic version of a dynamic Cournot model. The model is dynamic because firms are slow to adjust output in response to changes in their economic environment. The model is stochastic because management may make errors in identifying the best course of action in a dynamic setting. We capture these behavioral errors with Brownian motion. The model demonstrates that the limiting output level of the game is a random variable, rather than a constant that is found in the non-stochastic case. In addition, the limiting variance in firm output is smaller with more firms. Finally, the model predicts that firm failure is more likely in smaller markets and for firm...

Dirichlet Brownian Motions

Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=52716#.VKH_3cCAM4 Author(s)      Hafedh Faires Affiliation(s) Department of Mathematics and Statistics, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, KSA . ABSTRACT In this work we introduce a Brownian motion in random environment which is a Brownian constructions by an exchangeable sequence based on Dirichlet processes samples. We next compute a stochastic calculus and an estimation of the parameters is computed in order to classify a functional data KEYWORDS Bayesian Model , Brownian Motion , Exchangeability , Gaussian Mixtures ...