A difference diffusion model with two equilibrium states

DOI10.1007/S10559-017-9993-8MaRDI QIDQ1699402zbMATH OpenOpenAlexFDO

Authors Dmitry V. Koroliuk, V. S. Korolyuk

Publication date 23 February 2018

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.03571

zbMATH Keywords

stochastic approximationevolutionary processclassification of equilibrium statesdiscrete Markov diffusion

Mathematics Subject Classification ID

Stochastic programming (90C15) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03)

Abstract: The difference diffusion model with two equilibrium states is given by a stochastic equation with two components: the predicted one, which is determined by the regression function of increments with two equilibriums, and the stochastic one, which is the martingale difference. We propose a classification of zones of influence of equilibriums according to asymptotic properties of trajectories of statistical experiments. We study asymptotic behavior of statistical experiments, determined by the sums of $N$ sample values, as $Noinfty$.

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Cites work

• scientific article; zbMATH DE number 3553601 (Why is no real title available?)
• A Stochastic Approximation Method
• Binary statistical experiments with persistent nonlinear regression
• Classification of binary deterministic statistical experiments with persistent regression
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• Nonlinear Averaging Axioms in Financial Mathematics and Stock Price Dynamics
• Nonlinear Financial Averaging, the Evolution Process, and Laws of Econophysics
• Stochastic behavioral models. Classification
• Two component binary statistical experiments with persistent linear regression

Cited in

(1)

• A two-state jump model

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