Modèles stochastiques de croissance multiplicative

Modèles stochastiques de croissance multiplicative :

  • Observations empiriques
  • Lois de Pareto-Zipf et indices d'inégalité
  • Concentration, redistribution, taxes et inégalités
  • Exploration/Exploitation
  • Dynamique de populations

Références

  • Bouchaud, J. P. (2001). "Power Laws in Economics and Finance: Some Ideas from Physics", Quantitative Finance, 1, 105-112.
  • Axtell, R. L. (2001). "Zipf Distribution of US Firm Sizes". Science, 293(5536), 1818-1820.
  • Gabaix, X. (2016). "Power Laws in Economics: An Introduction". Journal of Economic Perspectives, 30(1), 185-206.
  • Bouchaud, J. P., & Georges, A. (1990). "Anomalous Diffusion in Disordered Media: Statistical Mechanisms, Models and Physical Applications". Physics Reports, 195(4-5), 127-293.
  • Wyart, M., & Bouchaud, J. P. (2003). "Statistical Models for Company Growth". Physica A: Statistical Mechanics and its Applications, 326(1-2), 241-255.
  • Gabaix, X. (2011). "The Granular Origins of Aggregate Fluctuations". Econometrica, 79(3), 733-772.
  • Derrida, B. (1981). "Random-energy Model: An Exactly Solvable Model of Disordered Systems". Physical Review B, 24(5), 2613.
  • Derrida, B. (1994). "Non-self-averaging Effects in Sums of Random Variables, Spin Glasses, Random Maps and Random Walks". In On Three Levels (pp. 125-137). Springer, Boston, MA.
  • Ben Arous, G., Bogachev, L. V., & Molchanov, S. A. (2005). "Limit Theorems for Sums of Random Exponentials". Probability Theory and Related Fields, 132(4), 579-612.
  • Gabaix, X. (1999). "Zipf's Law for Cities: An Explanation". The Quarterly Journal of Economics, 114(3), 739-767.
  • Bouchaud, J. P., & Mézard, M. (2000). "Wealth Condensation in a Simple Model of Economy". Physica A: Statistical Mechanics and its Applications, 282(3-4), 536-545.
  • Gabaix, X., Lasry, J. M., Lions, P. L., & Moll, B. (2016). "The Dynamics of Inequality". Econometrica, 84(6), 2071-2111.
  • Boghosian, Bruce M. "Is Inequality Inevitable." Sci. Am 321 (2019): 70-77.
  • Derrida, B., & Spohn, H. (1988). "Polymers on Disordered Trees, Spin Glasses, and Traveling Waves". Journal of Statistical Physics, 51(5), 817-840.
  • Halpin-Healy, T., & Zhang, Y. C. (1995). "Kinetic Roughening Phenomena, Stochastic Growth, Directed Polymers and all that. Aspects of Multidisciplinary Statistical Mechanics". Physics Reports, 254(4-6), 215-414.
  • Fisher, D. S., & Huse, D. A. (1991). "Directed Paths in a Random Potential". Physical Review B, 43(13), 10728.
  • Gueudré, T., Dobrinevski, A., & Bouchaud, J. P. (2014). "Explore or Exploit? A Generic Model and an Exactly Solvable Case". Physical Review Letters, 112(5), 050602.
  • J.-P. Bouchaud (2015). "On Growth-optimal Tax Rates and the Issue of Wealth Inequalities". Journal of Statistical Mechanics: Theory and Experiment, 2015(11), P11011.