Sharing and growth in general random multiplicative environments

Thomas Liebmann, Stefan Kassberger and Martin Hellmich

European Journal of Operational Research, 2017, vol. 258, issue 1, 193-206

Abstract: We extend the discrete-time cooperation evolution model proposed by Yaari and Solomon (2010) to a version with independent multiplicative random increments of arbitrary distribution and we develop a model in continuous time driven by exponential Lévy processes. In all settings, we prove that members of a sharing group enjoy a higher growth rate of their wealth and at the same time drastically reduce their exposure to random fluctuations: as more members join the group, the wealth of each member uniformly converges to a deterministic process growing at the highest possible rate. Thus, joining a sufficiently large sharing group may promise all its members to succeed almost surely even in environments where non-sharing individuals cannot escape misery on their own.

Keywords: Stochastic processes; Evolutionary computations; Group decisions and negotiations; Cooperation evolution; Lévy processes (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:258:y:2017:i:1:p:193-206

DOI: 10.1016/j.ejor.2016.05.042

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