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Stationary equilibria in discounted stochastic games with weakly interacting players

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  • Horst, Ulrich

Abstract

We give sufficient conditions for a non-zero sum discounted stochastic game with compact and convex action spaces and with norm-continuous transition probabilities, but with possibly unbounded state space to have a N ash equilibrium in homogeneous Markov strategies that depends in a Lipsehitz continuous manner on the current state. H the underlying state space is compact this yields the existence of a stationary equilibrium. For a special class of stochastic games which arise in microstructure models for financial markets we establish the existence of equilibria which guarantee that the state sequence converges in distribution to a unique stationary measure. --

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Bibliographic Info

Article provided by Elsevier in its journal Games and Economic Behavior.

Volume (Year): 51 (2005)
Issue (Month): 1 (April)
Pages: 83-108

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Handle: RePEc:eee:gamebe:v:51:y:2005:i:1:p:83-108

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Web page: http://www.elsevier.com/locate/inca/622836

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Citations

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Cited by:
  1. Roger Lagunoff (Georgetown University), 2005. "Markov Equilibrium in Models of Dynamic Endogenous Political Institutions," Working Papers gueconwpa~05-05-07, Georgetown University, Department of Economics.
  2. John Duggan, 2011. "Noisy Stochastic Games," RCER Working Papers 562, University of Rochester - Center for Economic Research (RCER).
  3. Balbus, Łukasz & Reffett, Kevin & Woźny, Łukasz, 2013. "A constructive geometrical approach to the uniqueness of Markov stationary equilibrium in stochastic games of intergenerational altruism," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1019-1039.
  4. Jinhui H. Bai & Roger Lagunoff, 2011. "On the Faustian Dynamics of Policy and Political Power," Review of Economic Studies, Oxford University Press, vol. 78(1), pages 17-48.
  5. John Duggan & Tasos Kalandrakis, 2007. "Dynamic Legislative Policy Making," Wallis Working Papers WP45, University of Rochester - Wallis Institute of Political Economy.
  6. Roger Lagunoff, 2004. "The Dynamic Reform of Political Institutions," Working Papers gueconwpa~04-04-07, Georgetown University, Department of Economics.
  7. Yehuda (John) Levy, 2012. "A Discounted Stochastic Game with No Stationary Equilibria: The Case of Absolutely Continuous Transitions," Discussion Paper Series dp612, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  8. Escobar, Juan F., 2013. "Equilibrium analysis of dynamic models of imperfect competition," International Journal of Industrial Organization, Elsevier, vol. 31(1), pages 92-101.
  9. Mitri Kitti, 2011. "Conditionally Stationary Equilibria in Discounted Dynamic Games," Dynamic Games and Applications, Springer, vol. 1(4), pages 514-533, December.
  10. John Duggan, 2012. "Noisy Stochastic Games," RCER Working Papers 570, University of Rochester - Center for Economic Research (RCER).
  11. Andrzej Nowak, 2007. "On stochastic games in economics," Computational Statistics, Springer, vol. 66(3), pages 513-530, December.

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