LAW OF LARGE NUMBERS FOR A HETEROGENEOUS SYSTEM OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH STRONG LOCAL INTERACTION AND ECONOMIC APPLICATIONS
成果类型：
Article
署名作者：
Finnoff, William
署名单位：
Siemens AG; Siemens Germany
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177005070
发表日期：
1994
页码：
494-528
关键词：
摘要：
A model for the activities of a finite number of agents in an economy is presented as the solution to a system of stochastic differential equations driven by general semimartingales and displaying an extended form of strong local interaction. We demonstrate a law of large numbers for the systems of processes as the number of agents goes to infinity under a weak convergence hypothesis on the triangular array of starting values and driving semimartingales which induces the systems of equations. Further, it is shown that the limit can be uniquely characterized by the distributions of the coordinate processes of the solution to an associated infinite-dimensional stochastic differential equation. Finally, an explicit example describing a currency market is discussed.
来源URL：