Stochastic Models of Economic Equilibrium on Directed Graphs

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• Prof. Michael Dempster, University of Cambridge, Judge Business School and Statistical Laboratory
• Wednesday 04 March 2009, 16:00-17:00
• MR15, CMS, Wilberforce Road, Cambridge, CB3 0WB.

If you have a question about this talk, please contact Neil Walton.

The general objective of this work is to develop a theory of stochastic dynamic models of economic equilibrium with locally interacting, asymmetrically informed agents. The focus of the study is on the modeling of market interactions- those arising in connection with commodity exchange and regu- lated by price mechanisms. The main goal is to extend to such models fundamental results of the stochastic theory of economic dynamics: existence theorems for equilibrium and optimal paths over …nite and in…nite time horizons; sensitivity and stability results for such paths (in particular, turnpike theorems); existence of stationary equilibria in stationary models. The conventional approach to the analysis of interactions in economic systems, prevailing in the current literature, is based on methods developed in statistical physics, typically involving Gibbs …elds on undirected graphs. This study pursues a di¤erent approach, in which a key role is played by control problems for random …elds on directed graphs.

This talk is part of the Optimization and Incentives Seminar series.

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