The Yoccoz-Birkeland livestock population model coupled with random price dynamics

DOI10.1016/J.CNSNS.2022.106982arXiv2205.09796MaRDI QIDQ6399643FDOQ6399643

Giulia Livieri, Stefano Marmi, Riccardo Ceccon

Publication date: 19 May 2022

Abstract: We study a random version of the population-market model proposed by Arlot, Marmi and Papini in Arlot et al. (2019). The latter model is based on the Yoccoz-Birkeland integral equation and describes a time evolution of livestock commodities prices which exhibits endogenous deterministic stochastic behaviour. We introduce a stochastic component inspired from the Black-Scholes market model into the price equation and we prove the existence of a random attractor and of a random invariant measure. We compute numerically the fractal dimension and the entropy of the random attractor and we show its convergence to the deterministic one as the volatility in the market equation tends to zero. We also investigate in detail the dependence of the attractor on the choice of the time-discretization parameter. We implement several statistical distances to quantify the similarity between the attractors of the discretized systems and the original one. In particular, following a work by Cuturi (2013), we use the Sinkhorn distance. This is a discrete and penalized version of the Optimal Transport Distance between two measures, given a transport cost matrix.

Mathematics Subject Classification ID

Population dynamics (general) (92D25) Dynamical systems in optimization and economics (37N40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Qualitative investigation and simulation of models involving functional-differential equations (34K60) Generation, random and stochastic difference and differential equations (37H10) Microeconomic theory (price theory and economic markets) (91B24) Dynamic stochastic general equilibrium theory (91B51) Economic dynamics (91B55)

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