Author:
Ferland René,Giroux Gaston
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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
2 articles.
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