Journal of Applied Probability · 2008 · 12 citations · 3 references
Social SciencesEconomicsMathematicsGame TheoryMicroeconomicsStochastic ProcessesBargaining TheoryGeneral EquilibriumJump ProcessesLaw Of Large NumbersMarkov ProcessesStochastic GamesContinuum Of AgentsJump DynamicsMarkov GamesMarkov Jump ProcessesPure-jump Processes
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.
3
Stably coalescent stochastic froths
J. M. C. Clark, Vassilis Katsouros · Advances in Applied Probability · 1999 · 12 citations
Engineering, Physics, Fluid Dynamics +13