Large deviations of random vector fields with applications to economics (Q1586919)

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scientific article; zbMATH DE number 1533514
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Large deviations of random vector fields with applications to economics
scientific article; zbMATH DE number 1533514

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    Large deviations of random vector fields with applications to economics (English)
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    20 November 2000
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    Let \(Z_n(p)\), \(n\geq 1\), be a sequence of random vector fields on \(R^l\), and let \(\pi^*_n= \{p\in R^l: Z_n(p)=0\}\) denote the random set of \(Z_n\). The author studies the asymptotics of probabilities of the type \(P(\pi^*_n\cap B \neq\emptyset)\) for subsets \(B\subset R^l\) and proves that under suitable conditions these probabilities are of the order \(\exp(-nI(B))\), where \(I(B)\) is a large deviation rate function obtained as a minimum of an associated entropy function \(I(p)\) over \(B\). The author studies also the large deviations of random graphs of the form \(\{(p,n^{-1}X_n(p)): p\in \pi^*_n\} \subset R^{l+d}\), where \(X_n\) is an auxiliary sequence of random maps \(X_n:R^l\to R^d\). In economic applications \(Z_n(p)\) refers to the total excess demand in a random economy of size \(n\) and hence \(\pi^*_n\) becomes the random set of equilibrium prices for the economy. The auxiliary map \(X^*_n(p)\) may denote any price-depending total characteristic like total demand, supply.
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    entropy function
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    large deviations
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    random graph
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    total excess demand
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