Limit theorems for individual-based models in economics and finance

DOI10.1016/J.SPA.2008.12.001MaRDI QIDQ2270875zbMATH OpenOpenAlexFDO

Authors Daniel Remenik

Publication date 29 July 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.2813

zbMATH Keywords

central limit theoremeconomicsfinancefluctuation processindividual-based modelinteracting particle systemlaw of large numbersmeasure-valued process

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Stochastic models in economics (91B70)

Abstract: There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions between agents. Our purpose is to present a general framework that encompasses a broad range of models, by proving a law of large numbers and a central limit theorem for certain interacting particle systems with very general state spaces. To do this we draw inspiration from some work done in mathematical ecology and mathematical physics. The first result is proved for the system seen as a measure-valued process, while to prove the second one we will need to introduce a chain of embeddings of some abstract Banach and Hilbert spaces of test functions and prove that the fluctuations converge to the solution of a certain generalized Gaussian stochastic differential equation taking values in the dual of one of these spaces.

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Cited in

(10)

• Law of large numbers for a heterogeneous system of stochastic differential equations with strong local interaction and economic applications
• A Bayesian nonparametric approach to modeling market share dynamics
• Model of phenotypic evolution in hermaphroditic populations
• Exact solution for a metapopulation version of Schelling’s model
• Asymptotics of locally-interacting Markov chains with global signals
• Stochastic Limit Theory
• Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
• Individually-based Markov processes modeling nonlinear systems in mathematical biology
• Scaling limits for continuous opinion dynamics systems
• Thermodynamic limits of macroeconomic or financial models: one- and two-parameter Poisson-Dirichlet models

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