Equilibrium prices in a random exchange economy with dependent agents (Q1571045)

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scientific article; zbMATH DE number 1472368
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    Equilibrium prices in a random exchange economy with dependent agents
    scientific article; zbMATH DE number 1472368

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      Equilibrium prices in a random exchange economy with dependent agents (English)
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      9 July 2000
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      The authors study an exchange economy in which the preferences and endowments of the agents are ``random'' or ``subject to exogenous shocks'', the framework being that of \textit{W. Hildenbrand} [J. Econ. Theory 3, 414-429 (1971)] and \textit{P. A. Weller} [J. Econ. Theory 28, 71-81 (1982; Zbl 0486.90013)]. Stochastic interaction among the agents is formally described in terms of dependency neighbourhoods. The main result of the paper can be informally stated as follows. Let \(E_n\) be a sequence of economies in which the number of elements in the dependency neighbourhoods of any agent remains uniformly bounded (as \(n\to\infty\)). Let \((p_n)\) be a sequence of price vectors such that the expected excess demands in \(E_n\) at prices \(p_n\) are zero. Then a sequence of random market-clearing prices \(p_n(\omega)\) (depending on the state \(\omega\) of the environment) can be constructed such that \(p_n(\cdot)- p_n\) converges to zero in proabability. Furthermore, \[ n^{1/2}(p_n(\cdot)- p_n) \] converges in distribution to a normal law which can be completely characterized.
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      stochastic interaction
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      exchange economy
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      market-clearing prices
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