Abstract
The paper develops a mathematical model of foreign currency exchange market in the form of a stochastic linear differential equation with coefficients depending on a semi-Markov process. The boundaries of the domain of its instability is determined by using moment equations.
Highlights
The economic growth of a given country is based on the government policy that includes numerous control moments
The functioning of the foreign currency exchange market in conditions of uncertainty can be modelled by using stochastic differential equations
Perturbations in the foreign currency exchange market cause the changes of the stochastic process ξ(t), and solutions of (2) in this scalar case are subject to the random transformations x = pkx, pk ≠ 0, k = 1, . . . , n (74)
Summary
The economic growth of a given country is based on the government policy that includes numerous control moments. In view of the disbalance of the foreign currency exchange market, the negative trade balance, the high inflation, an effective foreign currency exchange rate policy determining the optimal level of foreign currency exchange rates is an important problem Under such conditions, it is especially important to perceive the “bank” as a comprehensive dynamic system that works in the conditions of unstable economy under high foreign currency exchange risks. One aspect of the model is to build stable functioning of the foreign currency exchange transactions of the “bank” as a factor of effective functioning of the banking system in general [7, 8]. The paper develops a stability model of foreign currency bank transactions with semi-Markov fluctuations. There are constructed moment equations as a tool for studying the stochastic system stability which is working in uncertainty conditions
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