Research Paper No. 510

The Stationary Distribution of an Autonomous Ito Process

by

Alexander Bakker.

April 1996

Department of Economics. University of Melbourne. Parkville Victoria 3052 Australia

CONTENTS

1 Introduction
2 Statistical Theory
• Introducing Dynamics
• Transitional Densities
• Stationary Density
• Generalized Exponential Family Stationary Densities
• Multi-Modality
• Multiple Equilibria
• Case Study
3 Theoretical Observations
• Lack of Correspondence
• Relative Locations
• Pole Instability
4 Conclusions
.

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