Open Access
2013 Some new results on information percolation
Alain Bélanger, Gaston Giroux
Stoch. Syst. 3(1): 1-10 (2013). DOI: 10.1214/12-SSY066


We study the dynamics of a large number, $N$, of investors which have meetings by groups of $m$. We obtain an explicit formula for the solution of the associated non-linear system of differential equations. This formula is tractable and it enables us to show the asymptotic stability of a large class of models. One of those models can be thought of as an interacting portfolio market.


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Alain Bélanger. Gaston Giroux. "Some new results on information percolation." Stoch. Syst. 3 (1) 1 - 10, 2013.


Published: 2013
First available in Project Euclid: 24 February 2014

zbMATH: 1296.91244
MathSciNet: MR3353466
Digital Object Identifier: 10.1214/12-SSY066

Primary: 34A34 , 60G55 , 82C31

Keywords: Continuous-time Markov chains , Large interacting sets , market equilibrium , ordinary differential equations

Rights: Copyright © 2013 INFORMS Applied Probability Society

Vol.3 • No. 1 • 2013
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