Information Percolation: Some General Cases with an Application to Econophysics

Publication date 23 February 2012

Nonlinear ordinary differential equations and systems (34A34) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: We describe, at the microscopic level, the dynamics of N interacting components where the probability is very small when N is large that a given component interact more than once, directly or indirectly, up to time t, with any other component. Due to this fact, we can consider, at the macroscopic level, the quadratic system of differential equations associated with the interaction and establish an explicit formula for the solution of this system. We moreover apply our results to some models of Econophysics.

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