Stability Analysis of Asset Flow Differential Equations

Duran, Ahmet

Abstract

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Stability Analysis of Asset Flow Differential Equations

Ahmet Duran

University of Michigan at Ann Arbor

April 10, 2010

Applied Mathematics Letters, Vol. 24, pp. 471-477, 2011

Abstract:
I study the stability analysis of the solutions for the dynamical system of nonlinear asset flow differential equations (AFDEs) in three versions. I show that the previous two versions are not structurally stable mathematically because there are infinitely many critical points. It is important to reformulate a problem in order to eliminate any hypersensitivity in the mathematical model. I find that there is no critical point in the new version unless the chronic discount over the past finite time interval is zero.

Number of Pages in PDF File: 7

Keywords: Stability analysis, instability, equilibrium, market dynamics, asset flow, closed-end funds, hypersensitivity, mathematical finance and economics

JEL Classification: C62, C61, G12, D52, D53, C63

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Date posted: July 21, 2011

Suggested Citation

Duran, Ahmet, Stability Analysis of Asset Flow Differential Equations (April 10, 2010). Applied Mathematics Letters, Vol. 24, pp. 471-477, 2011. Available at SSRN: http://ssrn.com/abstract=1889265

Contact Information

Ahmet Duran (Contact Author)

University of Michigan at Ann Arbor ( email )

Ann Arbor, MI 48109
United States