aDepartment of Applied Mathematics, Northwestern Polytechnical University, Xi’an 710072, China
bSchool of Statistics, Xi’an University of Finance and Economics, Xi’an 710061, China
Abstract:
In consideration of many uncertain factors existing in economic system, nonlinear stochastic dynamical price model which is subjected to Gaussian white noise excitation is proposed based on deterministic model. One-dimensional averaged Itô stochastic differential equation for the model is derived by using the stochastic averaging method, and applied to investigate the stability of the trivial solution and the first-passage failure of the stochastic price model. The stochastic price model and the methods presented in this paper are verified by numerical studies.