Law of large numbers for dynamic bargaining markets

被引：2

作者：

Ferland, Rene ^{[1
]}

Giroux, Gaston ^{[1
]}

机构：

[1] Univ Quebec, Dept Math, Montreal, PQ H3C 3P8, Canada

来源：

JOURNAL OF APPLIED PROBABILITY | 2008年 / 45卷 / 01期

关键词：

functional law of large numbers; dynamic bargaining market; market makers;

D O I：

10.1239/jap/1208358950

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We describe the random meeting motion of a finite number of investors in markets with friction as a Markov pure-jump process with interactions. Using a sequence of these, we prove a functional law of large numbers relating the large motions with the finite market of the so-called continuum of agents.

引用

页码：45 / 54

页数：10

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