Rapid paths in von Neumann–Gale dynamical systems

DOI10.1080/17442500701833526MaRDI QIDQ3498577zbMATH OpenOpenAlexFDO

Authors Wael Bahsoun, Igor V. Evstigneev, Michael Taksar

Publication date 15 May 2008

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.3353

zbMATH Keywords

random dynamical systemsmultivalued operatorsvon Neumann-Gale modelDynkin's and Radner's dualitiesrapid path

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamical systems in optimization and economics (37N40) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Economic growth models (91B62) Random dynamical systems (37H99)

Abstract: The paper examines random dynamical systems related to the classical von Neumann and Gale models of economic growth. Such systems are defined in terms of multivalued operators in spaces of random vectors, possessing certain properties of convexity and homogeneity. A central role in the theory of von Neumann-Gale dynamics is played by a special class of paths called rapid (they maximize properly defined growth rates). Up to now the theory lacked quite satisfactory results on the existence of such paths. This work provides a general existence theorem holding under assumptions analogous to the standard deterministic ones. The result solves a problem that remained open for more than three decades.

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Cites work

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• scientific article; zbMATH DE number 3549728 (Why is no real title available?)
• Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
• RAPID GROWTH PATHS IN CONVEX-VALUED RANDOM DYNAMICAL SYSTEMS
• Rapid growth paths in multivalued dynamical systems generated by homogeneous convex stochastic operators
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Cited in

(9)

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• Asset pricing and hedging in financial markets with fixed and proportional transaction costs
• A multidimensional Fatou lemma for conditional expectations
• Von Neumann-Gale dynamics and capital growth in financial markets with frictions
• Von Neumann–Gale model, market frictions and capital growth
• Log-optimal and rapid paths in von Neumann-Gale dynamical systems
• Random dynamical systems in economics
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• RAPID GROWTH PATHS IN CONVEX-VALUED RANDOM DYNAMICAL SYSTEMS

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