A Continuous Time Approximation of an Evolutionary Stock Market Model
Please always quote using this URN:urn:nbn:de:0296-matheon-2598
- We derive a continuous time approximation of the evolutionary market selection model of Blume & Easley (1992). Conditions on the payoff structure of the assets are identified that guarantee convergence. We show that the continuous time approximation equals the solution of an integral equation in a random environment. For constant asset returns, the integral equation reduces to an autonomous ordinary differential equation. We analyze its long-run asymptotic behavior using techniques related to Lyapunov functions, and compare our results to the benchmark of profit-maximizing investors.
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| Author: | Boris Buchmann, Stefan Weber |
|---|---|
| URN: | urn:nbn:de:0296-matheon-2598 |
| Referee: | Hans Föllmer |
| Document Type: | Preprint, Research Center Matheon |
| Language: | English |
| Date of first Publication: | 2005/05/17 |
| Release Date: | 2005/05/17 |
| Institute: | Humboldt-Universität zu Berlin |
| Technische Universität Berlin | |
| Preprint Number: | 253 |
