English, Article, Journal or magazine article edition: On Misapplications of Diffusion Approximations in Birth and Death Processes of Noisy Evolution. Y.M. Kaniovski

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Bookmark: http://trove.nla.gov.au/version/138383
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On Misapplications of Diffusion Approximations in Birth and Death Processes of Noisy Evolution.
Author
  • Y.M. Kaniovski
Physical Description
  • preprint
Notes
  • Birth and death processes with a finite number of states are used in modeling different kinds of noisy learning processes in economics. To analyze the long run properties one looks a the corresponding stationary distribution. When the number of states is large, the stationary distribution becomes bulky and difficult to analyze. To simplify the analysis in such a situation and hence to make the long run properties of the learning process more transparent, a diffusion approximation has been suggested. Unfortunately, quite often such such approximation is not correctly done. Why this happens and how the situation can be fixed is discussed in this note.
  • RePEc:wop:iasawp:ir98050
Language
  • English
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