The stochastic field of aggregate utilities and its saddle conjugate
AbstractWe describe the sample paths of the stochastic field $F = F_t(v,x,q)$ of aggregate utilities parameterized by Pareto weights $v$ and total cash amounts $x$ and stocks' quantities $q$ in an economy. We also describe the sample paths of the stochastic field $G = G_t(u,y,q)$, which is conjugate to $F$ with respect to the saddle arguments $(v,x)$, and obtain various conjugacy relations between these stochastic fields. The results of this paper play a key role in our study of a continuous-time price impact model.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1310.7280.
Date of creation: Oct 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-02 (All new papers)
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