Arbeitspapier
Convergence of locally and globally interacting Markov chains
We study the long run behaviour of interactive Markov chains on infinite product spaces. In view of microstructure models of financial markets, the interaction has both a local and a global component. The convergence of such Markov chains is analyzed on the microscopic level and on the macroscopic level of empirical fields. We give sufficient conditions for convergence on the macroscopic level. Using a perturbation of the Dobrushin-Vasserstein contraction technique we show that macroscopic convergence implies weak convergence of the underlying Markov chain. This extends the basic convergence theorem of Vasserstein (1969) for locally interacting Markov chains to the case where an additional global component appears in the interaction.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2001,21
- Klassifikation
-
Wirtschaft
- Thema
-
Markov chains on infinite product spaces
convergence of Markov chains
contraction techniques
Gibbs measures
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Föllmer, Hans
Horst, Ulrich
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2001
- Handle
- URN
-
urn:nbn:de:kobv:11-10049437
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Föllmer, Hans
- Horst, Ulrich
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2001
Ähnliche Objekte (12)
Convergence of locally and globally interacting Markov chains
Asymptotics of locally and globally interacting Markov chains arising in microstructure models of financial markets
Asymptotics of locally interacting Markov chains with global signals
Asymptotics of locally interacting Markov chains with global signals
Killing Locally or Killing Globally
Locally- but not Globally-identified SVARs
Locally- but not globally-identified SVAR
Interacting locally regulated diffusions
Machine learning : modeling data locally and globally
Globally asynchronous locally synchronous architectures for VLSI systems
Thinking globally, acting locally : Herausforderungen für eine internationale Lesbenbewegung
Thinking globally, framing locally: international discourses and labor organizing in Indonesia
Convergence of locally and globally interacting Markov chains
Asymptotics of locally and globally interacting Markov chains arising in microstructure models of financial markets
Asymptotics of locally interacting Markov chains with global signals
Asymptotics of locally interacting Markov chains with global signals
Killing Locally or Killing Globally
Locally- but not Globally-identified SVARs
Locally- but not globally-identified SVAR
Interacting locally regulated diffusions
Machine learning : modeling data locally and globally
Globally asynchronous locally synchronous architectures for VLSI systems
Thinking globally, acting locally : Herausforderungen für eine internationale Lesbenbewegung
Thinking globally, framing locally: international discourses and labor organizing in Indonesia
Convergence of locally and globally interacting Markov chains
Asymptotics of locally and globally interacting Markov chains arising in microstructure models of financial markets
Asymptotics of locally interacting Markov chains with global signals
Asymptotics of locally interacting Markov chains with global signals
Killing Locally or Killing Globally
Locally- but not Globally-identified SVARs
Locally- but not globally-identified SVAR
Interacting locally regulated diffusions
Machine learning : modeling data locally and globally
Globally asynchronous locally synchronous architectures for VLSI systems
Thinking globally, acting locally : Herausforderungen für eine internationale Lesbenbewegung