This paper proposes and explores a model for analyzing and forecasting the development of the economy, formalized as the Cauchy problem for a system of stochastic differential equations. The corresponding computational problem is solved numerically with the Euler-Maruyama method, the random variable being considered as discretized Brownian motion. Stochastic simulation for different scenarios is performed using MATLAB. The simulation results are illustrated with the examples of GDP trajectories for Finland.
Original languageEnglish
Title of host publicationPROCEEDINGS OF THE ROW17 – REAL OPTION WORKSHOP
Subtitle of host publicationLappeenranta, Finland, 04-05 октября 2017 г.
PublisherLappeenranta University of Technology
Pages7-9
ISBN (Print)978-952-335-148-6
StatePublished - 4 Oct 2017
EventROW17 – REAL OPTION WORKSHOP - Lappeenranta, Finland
Duration: 4 Oct 20175 Oct 2017

Conference

ConferenceROW17 – REAL OPTION WORKSHOP
Country/TerritoryFinland
CityLappeenranta
Period4/10/175/10/17

ID: 34933464