Numerical analysis of 3-D nonlinear financial model with lagged variables - influence of initial histories

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Numerical analysis of 3-D nonlinear financial model with lagged variables - influence of initial histories

Popis výsledku v původním jazyce

The paper concerns with numerical analysis of generalization of 3-D nonlinear financial model, which have been reported in the literature recently. It is composed of three simultaneous nonlinear ordinary differential equations with three state variables,which express the interest rate, the investment demand, and the price index, in particular. We have already introduced time dependent constitutive coefficient representing rate of investment instead of time invariant one. Further, we also admit more complex construction of right hand side terms including time delayed response of state variables, which yields the system with more general structure. In such case, the initial value problem turns to initial history problem, in general. We start with the simplest analytic form of the lagged terms, which assumes three intensities and three delays given. Numerical investigation of model with different forms of investment rate function and lagged structure is reported in detail. In particular,

Název v anglickém jazyce

Numerical analysis of 3-D nonlinear financial model with lagged variables - influence of initial histories

Popis výsledku anglicky

The paper concerns with numerical analysis of generalization of 3-D nonlinear financial model, which have been reported in the literature recently. It is composed of three simultaneous nonlinear ordinary differential equations with three state variables,which express the interest rate, the investment demand, and the price index, in particular. We have already introduced time dependent constitutive coefficient representing rate of investment instead of time invariant one. Further, we also admit more complex construction of right hand side terms including time delayed response of state variables, which yields the system with more general structure. In such case, the initial value problem turns to initial history problem, in general. We start with the simplest analytic form of the lagged terms, which assumes three intensities and three delays given. Numerical investigation of model with different forms of investment rate function and lagged structure is reported in detail. In particular,

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

32nd International Conference Mathematical Methods in Economics Conference Proceedings

ISBN

978-80-244-4208-2

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

590-595

Název nakladatele

Palacký University, Olomouc

Místo vydání

Palacký University, Olomouc

Místo konání akce

Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

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