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Law of Large Numbers for Dynamic Bargaining Markets

  • René Ferland (a1) and Gaston Giroux (a1)
Abstract

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.

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Copyright
Corresponding author
Postal address: Department of Mathematics, University of Quebec in Montreal, PO Box 8888, Downtown Station, Montreal, QC H3C 3P8, Canada. Email address: ferland.rene@uqam.ca
∗∗ Postal address: 410 Vimy, suite 1, Sherbrooke, QC J1K 3M9, Canada. Email address: gastongiroux2000@yahoo.ca
References
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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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