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Article Dans Une Revue Journal of Mathematical Analysis and Applications Année : 2014

Orbits in a stochastic Goodwin-Lotka-Volterra model

Résumé

This paper examines the cycling behavior of a deterministic and a stochastic version of the economic interpretation of the Lotka-Volterra model, the Goodwin model. We provide a characterization of orbits in the deterministic highly non-linear model. We then study the cycling behavior for a stochastic version, where a Brownian noise is introduced via an heterogeneous productivity factor. Sufficient conditions for existence of the system are provided. We prove that the system produces cycles around an equilibrium point in finite time for general volatility levels, using stochastic Lyapunov techniques for recurent domains. Numerical insights are provided.
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Dates et versions

hal-00851407 , version 1 (14-08-2013)
hal-00851407 , version 2 (31-01-2014)

Identifiants

Citer

Bernardo Costa-Lima, Adrien Nguyen Huu. Orbits in a stochastic Goodwin-Lotka-Volterra model. Journal of Mathematical Analysis and Applications, 2014, 419 (1), pp.48--67. ⟨10.1016/j.jmaa.2014.04.035⟩. ⟨hal-00851407v2⟩

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