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Discrete time stochastic multi-player competitive games with affine payoffs

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  • Guo, Ivan
  • Rutkowski, Marek

Abstract

A novel class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is examined. The affine games cover as a very special case the classic two-person stochastic stopping games introduced by Dynkin (1969). We first extend to the case of a single-period deterministic affine game the results from Guo and Rutkowski (2012, 2014) where the so-called redistribution games were studied. We identify conditions under which optimal equilibria and value for a multi-player affine game exist. We also examine stochastic multi-period affine games and we show that, under mild assumptions, they can be solved by the method of backward induction.

Suggested Citation

  • Guo, Ivan & Rutkowski, Marek, 2016. "Discrete time stochastic multi-player competitive games with affine payoffs," Stochastic Processes and their Applications, Elsevier, vol. 126(1), pages 1-32.
    • Handle: RePEc:eee:spapps:v:126:y:2016:i:1:p:1-32
    DOI: 10.1016/j.spa.2015.07.013
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    References listed on IDEAS

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    1. Solan, Eilon & Vieille, Nicolas, 2003. "Deterministic multi-player Dynkin games," Journal of Mathematical Economics, Elsevier, vol. 39(8), pages 911-929, November.
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