IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v46y1993i1p153-182.html
   My bibliography  Save this article

Law of large numbers for a general system of stochastic differential equations with global interaction

Author

Listed:
  • Finnoff, William

Abstract

A model for the activities of N agents in an economy is presented as the solution to a system of stochastic differential equations with stochastic coefficients, driven by general semimartingales and displaying weak global interaction. We demonstrate a law of large numbers for the empirical measures belonging to the systems of processes as the number of agents goes to infinity under a weak convergence hypothesis on the triangular array of starting values, coefficients and driving semimartingales which induces the systems of equations. Further it is shown that the limit can be uniquely characterized as the weak solution to a further (nonlinear) stochastic differential equation.

Suggested Citation

  • Finnoff, William, 1993. "Law of large numbers for a general system of stochastic differential equations with global interaction," Stochastic Processes and their Applications, Elsevier, vol. 46(1), pages 153-182, May.
    • Handle: RePEc:eee:spapps:v:46:y:1993:i:1:p:153-182
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(93)90089-M
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chong, Carsten & Klüppelberg, Claudia, 2019. "Partial mean field limits in heterogeneous networks," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 4998-5036.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:46:y:1993:i:1:p:153-182. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.