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Dynamic interaction models of economic equilibrium

Listed author(s):
  • Igor Evstigneev
  • Michael Taksar

The paper develops a stochastic dynamic model of economic equilibrium with locally interacting agents. The main focus of the study is on the modeling of market interactions - those arising in connection with commodity exchange and regulated by price mechanisms. The mathematical framework is a control theory for random vector fields on directed graphs. The graphs involved serve to describe the spatio-temporal structure of commodity flows in the system. The main results are concerned with the existence, uniqueness and stability of stochastic dynamic equilibria.

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File URL: http://hummedia.manchester.ac.uk/schools/soss/economics/discussionpapers/EDP-0623.pdf
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Paper provided by Economics, The University of Manchester in its series The School of Economics Discussion Paper Series with number 0623.

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Date of creation: 2006
Handle: RePEc:man:sespap:0623
Contact details of provider: Postal:
Manchester M13 9PL

Phone: (0)161 275 4868
Fax: (0)161 275 4812
Web page: http://www.socialsciences.manchester.ac.uk/subjects/economics/

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  1. Follmer, Hans, 1974. "Random economies with many interacting agents," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 51-62, March.
  2. Evstigneev,Igor & Taksar,Michael, 1993. "Stochastic equilibria on graphs II," Discussion Paper Serie A 395, University of Bonn, Germany.
  3. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
  4. Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
  5. Kannai, Yakar, 1989. "A characterization of monotone individual demand functions," Journal of Mathematical Economics, Elsevier, vol. 18(1), pages 87-94, February.
  6. Hommes, C.H., 2000. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," CeNDEF Working Papers 00-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. William A. Brock & Steven N. Durlauf, 2000. "Interactions-Based Models," Working Papers 00-05-028, Santa Fe Institute.
  8. Verbrugge, Randal, 2003. "Interactive-Agent Economies: An Elucidative Framework And Survey Of Results," Macroeconomic Dynamics, Cambridge University Press, vol. 7(03), pages 424-472, June.
  9. Majumdar, Mukul & Zilcha, Itzhak, 1987. "Optimal growth in a stochastic environment: Some sensitivity and turnpike results," Journal of Economic Theory, Elsevier, vol. 43(1), pages 116-133, October.
  10. William A. Brock & Steven N. Durlauf, 2001. "Discrete Choice with Social Interactions," Review of Economic Studies, Oxford University Press, vol. 68(2), pages 235-260.
  11. Yannis M. Ioannides, 2004. "Topologies Of Social Interactions," Econometric Society 2004 North American Winter Meetings 287, Econometric Society.
  12. Kirman, Alan P. & Vriend, Nicolaas J., 2001. "Evolving market structure: An ACE model of price dispersion and loyalty," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 459-502, March.
  13. I.V. Evstigneev & M.I. Taksar, 2002. "Equilibrium States of Random Economies with Locally Interacting Agents and Solutions to Stochastic Variational Inequalities in 〈L 1 ,L ∞ 〉," Annals of Operations Research, Springer, vol. 114(1), pages 145-165, August.
  14. Blume Lawrence E., 1993. "The Statistical Mechanics of Strategic Interaction," Games and Economic Behavior, Elsevier, vol. 5(3), pages 387-424, July.
  15. Bewley, Truman F., 1981. "Stationary equilibrium," Journal of Economic Theory, Elsevier, vol. 24(2), pages 265-295, April.
  16. McKenzie, Lionel W., 2005. "Optimal economic growth, turnpike theorems and comparative dynamics," Handbook of Mathematical Economics, in: K. J. Arrow & M.D. Intriligator (ed.), Handbook of Mathematical Economics, edition 2, volume 3, chapter 26, pages 1281-1355 Elsevier.
  17. HARDLE, Wolfgang & HILDENBRAND, Werner & JERISON, Michael, "undated". "Empirical evidence on the law of demand," CORE Discussion Papers RP 968, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  18. Horst, Ulrich & Scheinkman, Jose A., 2006. "Equilibria in systems of social interactions," Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
  19. Kirman, Alan P & Oddou, Claude & Weber, Shlomo, 1986. "Stochastic Communication and Coalition Formation," Econometrica, Econometric Society, vol. 54(1), pages 129-138, January.
  20. Weisbuch, Gerard & Kirman, Alan & Herreiner, Dorothea, 2000. "Market Organisation and Trading Relationships," Economic Journal, Royal Economic Society, vol. 110(463), pages 411-436, April.
  21. Radner, Roy, 1973. "Optimal stationary consumption with stochastic production and resources," Journal of Economic Theory, Elsevier, vol. 6(1), pages 68-90, February.
  22. Allen, Beth, 1982. "Some Stochastic Processes of Interdependent Demand and Technological Diffusion of an Innovation Exhibiting Externalities among Adopters," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 595-608, October.
  23. Krengel, Ulrich & Sucheston, Louis, 1981. "Stopping rules and tactics for processes indexed by a directed set," Journal of Multivariate Analysis, Elsevier, vol. 11(2), pages 199-229, June.
  24. Alan Kirman, 1997. "The economy as an evolving network," Journal of Evolutionary Economics, Springer, vol. 7(4), pages 339-353.
  25. repec:dau:papers:123456789/433 is not listed on IDEAS
  26. Amir, Rabah & Evstigneev, Igor, 1999. "Stochastic Version Of Polterovich'S Model: Exponential Turnpike Theorems For Equilibrium Paths," Macroeconomic Dynamics, Cambridge University Press, vol. 3(02), pages 149-166, June.
  27. Brock, William A & Mirman, Leonard J, 1973. "Optimal Economic Growth and Uncertainty: The No Discounting Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(3), pages 560-573, October.
  28. Evstigneev,Igor & Vyatscheslavovitsch Greenwood & Priscilla Edson, 1992. "Markov fields over countable partially ordered sets: Extrema and splitting," Discussion Paper Serie A 371, University of Bonn, Germany.
  29. Bewley, Truman, 1982. "An integration of equilibrium theory and turnpike theory," Journal of Mathematical Economics, Elsevier, vol. 10(2-3), pages 233-267, September.
  30. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
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