4 papers
Solow system driven by -stable Lévy process
Yiren Wang, Shenglan Yuan
This paper empirically implements a Solow-type growth model driven by -stable Lévy shocks with time-varying capital elasticity. We extend the framework with an -stable Lé…
Dynamics of Coupled Stochastic van der Pol Oscillators: Bifurcations, Synchronization and Chaos
Shenglan Yuan, Xiang Zhou
This work presents a comprehensive analysis of coupled stochastic van der Pol oscillators, a paradigm for understanding synchronization, bifurcations, and chaos in nonlinear system…
Affine Option Pricing with Hawkes-Type Endogenous Jump Activity
Ziyang Fang, Shenglan Yuan
We develop a risk-neutral option-pricing model where the activity scale of an infinite-activity jump process is endogenously driven by the asset's own realized price jumps. Jump si…
Endogenous business cycles via state-dependent saving and noise-induced metastability
Shenglan Yuan, James Brannan, Almaz Abebe +1
We develop a parsimonious stochastic growth model in which state-dependent saving behavior generates endogenous business-cycle-like dynamics. The model consists of three coupled eq…