Recurrence of a modified random walk and its application to an economic model

Salant, Stephen W. and Wenocur, Roberta S. (1981): Recurrence of a modified random walk and its application to an economic model. Published in: Siam Journal of Applied Mathematics , Vol. Vol. 4, No. No. 1 : pp. 163-166.

Abstract

A modification of Chung and Fuchs’ (Mem. Amer. Math. Soc., 6 (1951), pp. 1-12) recurrence theorem for random walks leads to an analogous result for a different discrete parameter Markov process. This latter process is applicable to an analysis of price stabilization programs involving purchases and sales from a buffer stock.

• Item Type: MPRA Paper
• Language: English
• Keywords: speculative attack
• Subjects: Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q2 - Renewable Resources and Conservation > Q28 - Government Policy; N - Economic History > N5 - Agriculture, Natural Resources, Environment, and Extractive Industries

References

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K. L. CHUNG AND D. ORNSTEIN (1962), On the recurrence of sums of random variables, Bull. Amer. Math. Soc., 68, pp. 30-32.

S. SALANT (1983), The vulnerability ofprice stabilization programs to speculative attack, J. Political Economy, Vol. 91, No. 1.

T. W. WOLFE (1976), Gold Market Report to U.S. Dept. of Treasury.