Professor Darrell Duffie Bernoulli Lecture - Continuous-time random matching

29 May 2017

17:15 - 18:15
Room : BI A0 448


Darrell Duffie, Stanford University

Joint work with Lei Qiao and Yeneng Sun.

We show the existence of independent random matching of a large population in a continuous-time dynamical system, where the matching intensities could be general non-negative jointly continuous functions on the space of type distributions and the time line. In particular, we construct a continuum of independent continuous-time Markov processes that is derived from random mutation, random matching, random type changing and random break up with time-dependent and distribution dependent parameters. It follows from the exact law of large numbers that the deterministic evolution of the agents' realized type distribution for such a continuous-time dynamical system can be determined by a system of differential equations. The results provide a mathematical foundation for a large literature on search-based models of labor markets, money, and over-the-counter markets for financial products.

Lecture slides
Name University Dates of visit
Darrell Duffie Stanford University 29/05/2017 - 29/05/2017
Total Guests : 1
Name University Dates of visit
Total Guests : 0