From Discrete to Continuous Time EvolutionaryFinance Models

This paper aims to open a new avenue for research in continuoustimenancial market models with endogenous prices and heterogenousinvestors. The main result is the derivation of the limit of a discretetimeevolutionary stock market model as the length of the time periodtends to zero.[...]

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Year of publication:	2008-10-15
Authors:	Palczewski, Jan ; Schenk-Hoppé, Klaus R.
Institutions:	Finrisk
Subject:	Finanzierungstheorie \| Finanzierung \| finance \| Markt \| Interaktion \| Reichtum

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1 Introduction
2 Discrete-time evolutionary model
3 Heuristic derivation of the limit model
4 Continuous-time evolutionary model
5 Convergence result
6 Proofs
6.1 Reduction of dimension
6.2 Explicit formulation of dynamics
6.3 Existence and uniqueness: discrete-time model
6.4 Existence and uniqueness: continuous-time model
6.5 Proof of convergence result
7 Time-dependent aggregate dividend intensity
7.1 Discrete-time system
7.2 Continuous-time system
7.3 Convergence result
8 Conclusion
Appendix
References

Persistent link: https://www.econbiz.de/10005868842