Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium
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Publication:5080129
DOI10.1137/21M1441055zbMATH Open1489.91282arXiv2010.09186OpenAlexW3093308966MaRDI QIDQ5080129FDOQ5080129
Authors: Masaaki Fujii, Akihiko Takahashi 
Publication date: 31 May 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Abstract: We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential equation of conditional McKean-Vlasov type, asymptotically clears the market in the large population limit. In the current work, under suitable conditions, we show the existence of a finite agent equilibrium and its strong convergence to the corresponding mean-field limit given in [16]. As an important byproduct, we get the direct estimate on the difference of the equilibrium price between the two markets; one consisting of heterogeneous agents of finite population size and the other of homogeneous agents of infinite population size.
Full work available at URL: https://arxiv.org/abs/2010.09186
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Interest rates, asset pricing, etc. (stochastic models) (91G30) Heterogeneous agent models (91B69) Mean field games (aspects of game theory) (91A16)
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Cited In (4)
- Existence of the limiting mean field dynamics in general equilibrium representations
- Convergence of some mean field games systems to aggregation and flocking models
- Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations
- Mean Field Equilibrium: Uniqueness, Existence, and Comparative Statics
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