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Law of Large Numbers for Dynamic Bargaining Markets

Part of: Markov processes Limit theorems Special processes Mathematical economics

Published online by Cambridge University Press:  14 July 2016

René Ferland  and
Gaston Giroux
René Ferland*
Affiliation:
Université du Québec à Montréal
Gaston Giroux*
Affiliation:
Université du Québec à Montréal
*
∗Postal address: Department of Mathematics, University of Quebec in Montreal, PO Box 8888, Downtown Station, Montreal, QC H3C 3P8, Canada. Email address: [email protected]
∗∗Postal address: 410 Vimy, suite 1, Sherbrooke, QC J1K 3M9, Canada. Email address: [email protected]
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Abstract

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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.

Keywords

Functional law of large numbersdynamic bargaining marketmarket makers

MSC classification

Secondary: 60K35: Interacting random processes; statistical mechanics type models; percolation theory 60F99: None of the above, but in this section 60J75: Jump processes 91B26: Market models (auctions, bargaining, bidding, selling, etc.)
Type
Research Article
Information
Journal of Applied Probability , Volume 45 , Issue 1 , March 2008 , pp. 45 - 54
Copyright
Copyright © Applied Probability Trust 2008 

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