Inverse limits and statistical properties for chaotic implicitly defined economic models

DOI10.1016/J.JMAA.2012.04.033MaRDI QIDQ439295zbMATH OpenOpenAlexFDO

Authors Eugen Mihailescu

Publication date 1 August 2012

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.3482

zbMATH Keywords

adaptive adjustment cobweb modelchaotic mapsentropyhomoclinic orbitsinvariant measuresinverse limitsnon-invertible economic dynamicsoverlapping generations modelutility functions

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Utility theory (91B16)

Abstract: In this paper we study the dynamics and ergodic theory of certain economic models which are implicitly defined. We consider 1-dimensional and 2-dimensional overlapping generations models, a cash-in-advance model, heterogeneous markets and a cobweb model with adaptive adjustment. We consider the inverse limit spaces of certain chaotic invariant fractal sets and their metric, ergodic and stability properties. The inverse limits give the set of intertemporal perfect foresight equilibria for the economic problem considered. First we show that the inverse limits of these models are stable under perturbations. We prove that the inverse limits are expansive and have specification property. We then employ utility functions on inverse limits in our case. We give two ways to rank such utility functions. First, when perturbing certain dynamical systems, we rank utility functions in terms of their extit{average values} with respect to invariant probability measures on inverse limits, especially with respect to measures of maximal entropy. For families of certain unimodal maps we can adjust both the discount factor and the system parameters in order to obtain maximal average value of the utility. The second way to rank utility functions (for more general maps on hyperbolic sets) will be to use equilibrium measures of these utility functions on inverse limits; they optimize average values of utility functions while extit{at the same time} keeping the disorder in the system as low as possible in the long run.

Review text

The author considers 1-dimensional and 2-dimensional overlapping generations models, a cash-in-advance model, heterogeneous markets and a cobweb model with adaptive adjustment.NEWLINENEWLINEThe dynamics and ergodic properties of these models, which present chaotic behavior on certain invariant sets, are studied. The main approach is to study the inverse limit spaces of certain chaotic invariant fractal sets and their metric, ergodic and stability properties. One of the results is that these limits are stable under perturbations for those models.NEWLINENEWLINEFor the employed utility functions the author gives two ways to rank them: in terms of their average values and using equilibrium measures of these functions.

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Cited in

(8)

• The weak specification property and distributional chaos
• \(\mathcal{F}\)-mixing property and \((\mathcal{F}_1,\mathcal{F}_2)\)-everywhere chaos of inverse limit dynamical systems
• Inverse limits and an implicitly defined difference equation from economics
• Implicit equilibrium dynamics
• Inverse limits, economics, and backward dynamics;Límites inversos, Economía y Dinámica Regresiva
• Uniform measures on inverse limit spaces
• Fixed points imply chaos for a class of differential inclusions that arise in economic models
• Refinement of dynamic equilibrium using small random perturbations

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