Open AccessMoment Equations in Modeling a Stable Foreign Currency Exchange Market in Conditions of Uncertainty
Author(s) -
Josef Diblı́k,
Ірада Джалладова,
Mária Michalková,
Miroslava Růžičková
Publication year - 2013
Publication title -
abstract and applied analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.228
H-Index - 56
eISSN - 1687-0409
pISSN - 1085-3375
DOI - 10.1155/2013/172847
Subject(s) - mathematics , moment (physics) , foreign exchange market , domain (mathematical analysis) , stochastic differential equation , differential equation , instability , foreign exchange , markov chain , currency , stability (learning theory) , mathematical analysis , economics , statistics , classical mechanics , mechanics , physics , computer science , machine learning , monetary economics
The paper develops a mathematical model of foreign currency exchange market in the form of a stochastic linear differential equation with coefficients depending on a semi-Markov process. The boundaries of the domain of its instability is determined by using moment equations
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