The Exact Law of Large Numbers for Independent Random Matching / Darrell Duffie, Yeneng Sun.

Format:

Book

Author/Creator:

Duffie, Darrell.

Contributor:

National Bureau of Economic Research.

Sun, Yeneng.

Series:

Working Paper Series (National Bureau of Economic Research) no. w17280.

NBER working paper series no. w17280

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2011.

Summary:

This paper provides a mathematical foundation for independent random matching of a large population, as widely used in the economics literature. We consider both static and dynamic systems with random mutation, partial matching arising from search, and type changes induced by matching. Under independence assumptions at each randomization step, we show that there is an almost-sure constant cross-sectional distribution of types in a large population, and moreover that the multi-period cross-sectional distribution of types is deterministic and evolves according to the transition matrices of the type process of a given agent. We also show the existence of a joint agent-probability space, and randomized mutation, partial matching and match-induced type-changing functions that satisfy appropriate independence conditions, where the agent space is an extension of the classical Lebesgue unit interval.

Notes:

Print version record

August 2011.