Moment Equations in Modeling a Stable Foreign Currency Exchange Market in Conditions of Uncertainty-Reference-Cited by-同舟云学术

Moment Equations in Modeling a Stable Foreign Currency Exchange Market in Conditions of Uncertainty

Published:2013 Issue: Volume:2013 Page:1-11
ISSN:1085-3375
Container-title:Abstract and Applied Analysis
language:en
Short-container-title:Abstract and Applied Analysis

Author:

Diblík Josef¹,Dzhalladova Irada²,Michalková Mária³^ORCID,Růžičková Miroslava³

Affiliation:

1. Department of Mathematics, Brno University of Technology, Brno 602 00, Czech Republic

2. Kyiv National Economic Vadym Hetman University, Kyiv 03680, Ukraine

3. The University of Žilina, Žilina 010 26, Slovakia

Abstract

The paper develops a mathematical model of foreign currency exchange market in the form of a stochastic linear differential equation with coefficients depending on a semi-Markov process. The boundaries of the domain of its instability is determined by using moment equations.

Publisher

Hindawi Limited

Subject

Applied Mathematics,Analysis

Link

http://downloads.hindawi.com/journals/aaa/2013/172847.pdf

Reference8 articles.

1. Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps

2. Dynamics Analysis of a Class of Delayed Economic Model

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