Föllmer, Hans; Horst, Ulrich - Sonderforschungsbereich 373, Quantifikation und … - 2001
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 … Vasserstein (1969) for locally interacting Markov chains to the case where an additional global component appears in the …