Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case

被引：11

作者：

Hammond, PJ ^{[1
]}

Sun, Y

机构：

[1] Stanford Univ, Dept Econ, Stanford, CA 94305 USA

[2] Natl Univ Singapore, Inst Math Sci, Singapore 118402, Singapore

[3] Natl Univ Singapore, Dept Math, Singapore 118402, Singapore

[4] Natl Univ Singapore, Ctr Financial Engn, Singapore 118402, Singapore

来源：

ECONOMIC THEORY | 2003年 / 21卷 / 2-3期

关键词：

large economy; continuum of agents; law of large numbers; exchangeability; joint measurability problem; de Finetti's theorem; Monte Carlo convergence; Monte Carlo sigma-algebra;

D O I：

10.1007/s00199-002-0302-y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Suppose a large economy with individual risk is modeled by a continuum of pairwise exchangeable random variables (i.i.d., in particular). Then the relevant stochastic process is jointly measurable only in degenerate cases. Yet in Monte Carlo simulation, the average of a large finite draw of the random variables converges almost surely. Several necessary and sufficient conditions for such "Monte Carlo convergence" are given. Also, conditioned on the associated Monte Carlo sigma-algebra, which represents macroeconomic risk, individual agents' random shocks are independent. Furthermore, a converse to one version of the classical law of large numbers is proved.

引用

页码：743 / 766

页数：24

共 34 条

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[2]

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