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Dark Markets by Darrell Duffie

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APPENDIX A

Foundations for Random Matching

This appendix summarizes conditions from Duffie and Sun (2011) for an exact law of large numbers for random matching of a “continuum” of investors in a static setting. Existence of models satisfying these conditions is shown in Duffie and Sun (2007). These sources also provide Markovian dynamics for agents’ type distributions in multiperiod settings.

A.1 MATHEMATICAL PRELIMINARIES

Let (Ω, Image, Image) be a probability space and let (G, , γ) be an atomless space of agents of total mass γ(G) = 1. For example, G could ...

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