The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process

Abstract : In this paper we consider some elementary and fair zero-sum games of chance to study the impact of random effects on the wealth distribution of N interacting players. Even if an exhaustive analytical study of such games between many players may be tricky, numerical experiments highlight interesting asymptotic properties. From a mathematical perspective, we interestingly recover for small and high-frequency transactions some diffusion limits extensively used in population genetics. Finally, the impact of small tax rates on the preceding dynamics is discussed for several regulation mechanisms.
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Nicolas Bouleau, Christophe Chorro. The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process. Physica A, Elsevier, 2017, 479, pp.379-395. ⟨http://www.sciencedirect.com/science/article/pii/S0378437117302340?via%3Dihub⟩. ⟨10.1016/j.physa.2017.03.017⟩. ⟨hal-01138383v2⟩

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