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Monte Carlo simulation of macroeconomic risk with a continuum of agents: the general case

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Author Info
Peter Hammond ()
Yeneng Sun ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s00199-007-0279-7
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Publisher Info
Article provided by Springer in its journal Economic Theory.

Volume (Year): 36 (2008)
Issue (Month): 2 (August)
Pages: 303-325
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Handle: RePEc:spr:joecth:v:36:y:2008:i:2:p:303-325

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Related research
Keywords: Large economy; Event-wise measurable conditional probabilities; Exchangeability; Conditional independence; Monte Carlo convergence; Monte Carlo σ-algebra; Stochastic macro structure; C00; D80; E00;

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  1. Peter J. Hammond & Yeneng Sun, 2003. "Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case," Economic Theory, Springer, vol. 21(2), pages 743-766, 03. [Downloadable!] (restricted)
    Other versions:
  2. Sun, Yeneng, 1998. "A theory of hyperfinite processes: the complete removal of individual uncertainty via exact LLN1," Journal of Mathematical Economics, Elsevier, vol. 29(4), pages 419-503, May. [Downloadable!] (restricted)
  3. Sun, Yeneng & Yannelis, Nicholas C., 2007. "Perfect competition in asymmetric information economies: compatibility of efficiency and incentives," Journal of Economic Theory, Elsevier, vol. 134(1), pages 175-194, May. [Downloadable!] (restricted)
  4. Peter J. Hammond & Yeneng Sun, 2000. "Joint Measurability and the One-way Fubini Property for a Continuum of Independent Random Variables," Working Papers 00008, Stanford University, Department of Economics. [Downloadable!]
  5. Sun, Yeneng, 2006. "The exact law of large numbers via Fubini extension and characterization of insurable risks," Journal of Economic Theory, Elsevier, vol. 126(1), pages 31-69, January. [Downloadable!] (restricted)
  6. Yeneng Sun & Nicholas Yannelis, 2008. "Ex ante efficiency implies incentive compatibility," Economic Theory, Springer, vol. 36(1), pages 35-55, July. [Downloadable!] (restricted)
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