Stochastic logistic model of the global financial leverage

DOI10.1515/BEJTE-2016-0009OpenAlexW2741818261MaRDI QIDQ2098904

Alexander D. Smirnov

Publication date: 22 November 2022

Published in: The B. E. Journal of Theoretical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/bejte-2016-0009

zbMATH Keywords

gamma distributionhazard functionlogistic equationleveragedebt collateral

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Financial markets (91G15)

Cites Work

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• Sufficient and necessary conditions on the existence of stationary distribution and extinction for stochastic generalized logistic system
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• Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential
• Environmental Brownian noise suppresses explosions in population dynamics.
• The stochastic logistic equation: stationary solutions and their stability
• Optimal leverage from non-ergodicity
• Leverage causes fat tails and clustered volatility
• Handbook of stochastic methods for physics, chemistry and natural sciences.

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