A probabilistic problem arising in economics (Q1119196): Difference between revisions

Let v be a market game derived from an l-glove market with population measure \(\mu\). That is, \(v=\min (\lambda_ 1,\lambda_ 2,...,\lambda_ l)\), where \(\lambda_ 1,\lambda_ 2,...,\lambda_ l\) are mutually singular probability measures which are absolutely continuous w.r.t. \(\mu\). It is proved that when \(l\geq 3\) the \(\mu\)-asymptotic value of v, \(\phi_{\mu}v\), exists iff at most one of the measures \(\lambda_ 1,...,\lambda_ l\) is not in \(L_ 2(\mu)\). A formula for \(\phi_{\mu}v\) is given whenever it exists. In addition, a complete characterization of the range of the \(\mu\)-values of v (where \(\mu\) varies) is given.