National University of Singapore
Department of Economics
1 Arts Link
Republic of Singapore
NBER Working Papers and Publications
|November 2015||Dynamic Directed Random Matching|
with Darrell Duffie, Lei Qiao: w21731
We develop a general and unified model in which a continuum of agents conduct directed random searches for counterparties. Our results provide the first probabilistic foundation for static and dynamic models of directed search (including the matching-function approach) that are common in search-based models of financial markets, monetary theory, and labor economics. The agents' types are shown to be independent discrete-time Markov processes that incorporate the effects of random mutation, random matching with match-induced type changes, and with the potential for enduring partnerships that may have randomly timed break-ups. The multi-period cross-sectional distribution of types is shown to be deterministic and is calculated using the exact law of large numbers.
Published: Darrell Duffie & Lei Qiao & Yeneng Sun, 2018. "Dynamic directed random matching," Journal of Economic Theory, vol 174, pages 124-183.
|August 2011||The Exact Law of Large Numbers for Independent Random Matching|
with Darrell Duffie: w17280
This paper provides a mathematical foundation for independent random matching of a large population, as widely used in the economics literature. We consider both static and dynamic systems with random mutation, partial matching arising from search, and type changes induced by matching. Under independence assumptions at each randomization step, we show that there is an almost-sure constant cross-sectional distribution of types in a large population, and moreover that the multi-period cross-sectional distribution of types is deterministic and evolves according to the transition matrices of the type process of a given agent. We also show the existence of a joint agent-probability space, and randomized mutation, partial matching and match-induced type-changing functions that satisfy appropriat...
Published: Duffie, Darrell & Sun, Yeneng, 2012. "The exact law of large numbers for independent random matching," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1105-1139. citation courtesy of