Aggregation and the law of large numbers in large economies
成果类型：
Article
署名作者：
Al-Najjar, NI
署名单位：
Northwestern University
刊物名称：
GAMES AND ECONOMIC BEHAVIOR
ISSN/ISSBN：
0899-8256
DOI：
10.1016/S0899-8256(03)00175-1
发表日期：
2004
页码：
1-35
关键词：
摘要：
This paper introduces a new model of environments with a large number of agents and stochastic characteristics. We consider sequences of finite but increasingly large economies that 'discretize' the continuum. In the limit we obtain a model that is continuum-like in important respects, yet it has a countable set of agents with a finitely additive, 'uniform' distribution. In this model, the law of large numbers is meaningful and holds on all subintervals. This framework provides, among other things, a new interpretation of the measurability problem and the failure of the law of large numbers in the continuum. It is also shown that the Pettis integral in the continuum coincides with the empirical frequencies in the discrete model almost surely. Finally, the model is used to study a mechanism design problem in a large economy with private information. (C) 2003 Elsevier Inc. All rights reserved.
来源URL：