Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium
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Publication:5080129
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.
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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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