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 concern. Individuals choose the effort with which they search for others from whom they can gather additional...

We calculate learning rates when agents are informed through both public and private observation of other agents’ actions. We provide an explicit solution for the evolution of the distribution of posterior beliefs. When the private learning channel is present, we show that convergence of the...

Conditions suitable for applications in finance are given for the weak convergence (or convergence in probability) of stochastic integrals. For example, consider a sequence "S-super-n" of security price processes converging in distribution to "S" and a sequence θ-super-n of trading strategies...

This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with "stochastic volatility." the yield of any zero-coupon bond is taken to be a...

This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. the optimal controls and value functions are characterized in terms of the viscosity solution of the associated...