The stationary solution of a random dynamical model

作     者：Wei Li Junfeng Zhao Natasa Trisovic Ruihong Li 

作者机构：School of Mathematics and Statistics Xidian University Department of Applied Mathematics Northwestern Polytechnical University Department of Mechanics University of Belgrade 

出 版 物：《Theoretical & Applied Mechanics Letters》 (力学快报（英文版）)

年 卷 期：2014年第4卷第1期

页      面：50-57页

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the National Natural Science Foundation of China(11302157) Fundamental Research Funds for the Central Universities(K5051370008) Chinese-Serbian Science&Technology Cooperation(2-14) 

主　　题：Gaussian white-noise business cycle stationary solution 

摘      要：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.