Lectures on Young Measure Theory and its Applications in Economics

Abstract

A quick and very extensive introduction to the subject of Young measure is given. It is based on a particular method to transfer the classical theory of narrow convergence of probability measure into a corresponding, but richer theory of narrow convergence of transition probabilities. This method centers around a Prohorov-type extension of Komlós' theorem. Applications of this theory to existence questions in economics include optimal growth, optimal consumption, Cournot-Nash equilibrium distributions, Nash equilibria in continuum games and in games with incomplete information