2004/12/21 by Stephane Cordier, Lorenzo Pareschi, Giuseppe Toscani · 2 citations
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #Economic theories and models #Stochastic processes and financial applications #math.AP #msc:35K30 #msc:35K55 #msc:82B30 #msc:82C31 #msc:82C80 #msc:82D99 #msc:91B26 #msc:91B60 #q-fin.GN
paper · pdf · doi:10.1007/s10955-005-5456-0
arxiv created 2004/12/21 · openalex publication_date 2005/07/01 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
In this paper, we consider a simple kinetic model of economy involving both exchanges between agents and speculative trading. We show that the kinetic model admits non trivial quasi-stationary states with power law tails of Pareto type. In order to do this we consider a suitable asymptotic limit of the model yielding a Fokker-Planck equation for the distribution of wealth among individuals. For this equation the stationary state can be easily derived and shows a Pareto power law tail. Numerical results confirm the previous analysis.