Related papers: Who is in equilibrium?
It is well known that ergodic theory can be used to formally prove a weak form of relaxation to equilibrium for finite, mixing, Hamiltonian systems. In this Letter we extend this proof to any dynamics that preserves a mixing equilibrium…
We study the model of interacting agents proposed by Chatterjee et al that allows agents to both save and exchange wealth. Closed equations for the wealth distribution are developed using a mean field approximation. We show that when all…
Survey data are widely used to study how income inequality, poverty, and welfare evolve over time. A common practice is to estimate the income distribution separately for each year, treating annual observations as independent…
A distributional symmetry is invariance of a distribution under a group of transformations. Exchangeability and stationarity are examples. We explain that a result of ergodic theory provides a law of large numbers: If the group satisfies…
The aim of this work is to establish the personal income distribution from the elementary constituents of a free market; products of a representative good and agents forming the economic network. The economy is treated as a self-organized…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
Increasingly, a huge amount of statistics have been gathered which clearly indicates that income and wealth distributions in various countries or societies follow a robust pattern, close to the Gibbs distribution of energy in an ideal gas…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…
This article describes mathematical methods for estimating the top-tail of the wealth distribution and therefrom the share of total wealth that the richest $p$ percent hold, which is an intuitive measure of inequality. As the data base for…
Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold…
We investigate the unbiased model for money exchanges: agents give at random time a dollar to one another (if they have one). Surprisingly, this dynamics eventually leads to a geometric distribution of wealth (shown empirically by…
In the last decade, a large body of literature has been developed to explain the universal features of inequality in terms of income and wealth. By now, it is established that the distributions of income and wealth in various economies show…
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…
Within the description of stochastic differential equations it is argued that the existence of Boltzmann-Gibbs type distribution in economy is independent of the time reversal symmetry in econodynamics. Both power law and exponential…
For those concerned with the long-term value of their accounts, it can be a challenge to plan in the present for inflation-adjusted economic growth over coming decades. Here, I argue that there exists an economic constant that carries…
A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a-priori introduced in the model, it is generated in parallel with the wealth values through…
We analyze the asymptotic behavior for a system of fully nonlinear parabolic and elliptic quasi variational inequalities. These equations are related to robust switching control problems introduced in [3]. We prove that, as time horizon…
It is known that asset exchange models with symmetric interaction between agents show either a Gibbs/log-normal distribution of assets among the agents or condensation of the entire wealth in the hands of a single agent, depending upon the…
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is…