Event Series
Event Type
Seminar
Monday, June 3, 2019 4:00 PM
Darrell Duffie (Stanford GSB)

We show the existence and properties of continuous-time independent random matching for a large population of agents whose matching intensities can be directed by type and depend on the current cross-sectional type distribution. The agents' type processes form a non-atomic measure space of independent continuous-time Markov chains whose type changes can be caused by random mutation and random matching. Using the exact law of large numbers, we show how the cross-sectional distribution of agent types evolves deterministically, according to an explicit ordinary differential equation. The results provide the first mathematical foundation for a large literature in economics and finance on search-based models of labor markets, money, and over-the-counter financial markets.

This is joint work with Lei Qiao and Yeneng Sun.