Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends

Mei Zhu*, Duo Wang, Maozheng Guo

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


We investigate dynamical properties of a heterogeneous agent model with random dividends and further study the relationship between dynamical properties of the random model and those of the corresponding deterministic skeleton, which is obtained by setting the random dividends as their constant mean value. Based on our recent mathematical results, we prove the existence and stability of random fixed points as the perturbation intensity of random dividends is sufficiently small. Furthermore, we prove that the random fixed points converge almost surely to the corresponding fixed points of the deterministic skeleton as the perturbation intensity tends to zero. Moreover, simulations suggest similar behaviors in the case of more complicated attractors. Therefore, the corresponding deterministic skeleton is a good approximation of the random model with sufficiently small random perturbations of dividends. Given that dividends in real markets are generally very low, it is reasonable and significant to some extent to study the effects of heterogeneous agents' behaviors on price fluctuations by the corresponding deterministic skeleton of the random model.

Original languageEnglish
Pages (from-to)131-147
Number of pages17
JournalJournal of Economic Dynamics and Control
Issue number1
Publication statusPublished - Jan 2011
Externally publishedYes


  • Bifurcation
  • Heterogeneous beliefs
  • Random dividends
  • Random fixed points
  • Stability


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