Law of large numbers for a general system of stochastic differential equations with global interaction

William Finnoff

Stochastic Processes and their Applications, 1993, vol. 46, issue 1, 153-182

Abstract: A model for the activities of N agents in an economy is presented as the solution to a system of stochastic differential equations with stochastic coefficients, driven by general semimartingales and displaying weak global interaction. We demonstrate a law of large numbers for the empirical measures belonging to the systems of processes as the number of agents goes to infinity under a weak convergence hypothesis on the triangular array of starting values, coefficients and driving semimartingales which induces the systems of equations. Further it is shown that the limit can be uniquely characterized as the weak solution to a further (nonlinear) stochastic differential equation.

Keywords: interacting; stochastic; processes; empirical; distributions; law; of; large; numbers; propagation; of; chaos (search for similar items in EconPapers)
Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(93)90089-M
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:46:y:1993:i:1:p:153-182

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().