Rapid paths in von Neumann–Gale dynamical systems

DOI10.1080/17442500701833526zbMATH Open1170.37026arXiv0712.3353OpenAlexW2111268946MaRDI QIDQ3498577FDOQ3498577

Igor V. Evstigneev, Wael Bahsoun, Michael Taksar

Publication date: 15 May 2008

Published in: Stochastics (Search for Journal in Brave)

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.

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

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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)

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Cited In (8)

• Title not available (Why is that?)
• 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
• Random dynamical systems in economics
• Convex-valued random dynamical systems: A variational principle for equilibrium states
• RAPID GROWTH PATHS IN CONVEX-VALUED RANDOM DYNAMICAL SYSTEMS

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