Polynomial-Rate Convergence to the Stationary State for the Continuum-Time Limit of the Minority Game

DOI10.1239/jap/1214950354zbMath1148.91007arXiv0706.3114OpenAlexW2065284440MaRDI QIDQ3516411

Matteo Ortisi

Publication date: 5 August 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.3114

zbMATH Keywords

stationary statecontinuum-time minority gamepolynomial mixing bound

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Multistage and repeated games (91A20) Dynamics of disordered systems (random Ising systems, etc.) in time-dependent statistical mechanics (82C44)

Related Items (1)

From Minority Game to Black&Scholes Pricing

Cites Work

• Unnamed Item
• On polynomial mixing bounds for stochastic differential equations
• Quenched complexity of the mean-fieldp-spin spherical model with external magnetic field
• TRADING BEHAVIOR AND EXCESS VOLATILITY IN TOY MARKETS
• Basic Principles and Applications of Probability Theory

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