The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process

Nicolas Bouleau () and Christophe Chorro ()
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Nicolas Bouleau: CIRED - centre international de recherche sur l'environnement et le développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique
Christophe Chorro: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper we consider some elementary and fair zero-sum games of chance to study the impact of random effects on the wealth distribution of N interacting players. Even if an exhaustive analytical study of such games between many players may be tricky, numerical experiments highlight interesting asymptotic properties. From a mathematical perspective, we interestingly recover for small and high-frequency transactions some diffusion limits extensively used in population genetics. Finally, the impact of small tax rates on the preceding dynamics is discussed for several regulation mechanisms.

Keywords: Fair zero-sum games; Wright-Fisher diffusions; Impact of tax rate (search for similar items in EconPapers)
Date: 2017-08-01
Note: View the original document on HAL open archive server: https://hal.science/hal-01138383v2
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Citations: View citations in EconPapers (2)

Published in Physica A: Statistical Mechanics and its Applications, 2017, 479, pp.379-395. ⟨10.1016/j.physa.2017.03.017⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-01138383

DOI: 10.1016/j.physa.2017.03.017

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