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Showing 2008 · math.PRShow all
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math.PR2008
Information Percolation with Equilibrium Search Dynamics
Darrell Duffie, Semyon Malamud, Gustavo Manso
We solve for the equilibrium dynamics of information sharing in a large population. Each agent is endowed with signals regarding the likely outcome of a random variable of common c…
math.PR2008★ 114 cited
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Jose Blanchet, Peter Glynn
Let be a sequence of i.i.d. r.v.'s with negative mean. Set and define . We propose an importance sampling algorithm to estimate the tail o…