Convergence of locally and globally interacting Markov chains
نویسندگان
چکیده
منابع مشابه
Convergence of locally and globally interacting Markov chains
We study the long run behaviour of interactive Markov chains on in1nite product spaces. In view of microstructure models of 1nancial markets, the interaction has both a local and a global component. The convergence of such Markov chains is analyzed on the microscopic level and on the macroscopic level of empirical 1elds. We give su5cient conditions for convergence on the macroscopic level. Usin...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2001
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(01)00110-7