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Noisy Stochastic Games

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  • John Duggan

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    (W. Allen Wallis Institute of Political Economy, 107 Harkness Hall, University of Rochester, Rochester, NY 14627-0158)

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    Abstract

    This paper establishes existence of a stationary Markov perfect equilibrium in general stochastic games with noise a component of the state that is nonatomically distributed and not directly affected by the previous periods state and actions. Noise may be simply a payoff irrelevant public randomization device, delivering known results on existence of correlated equilibrium as a special case. More generally, noise can take the form of shocks that enter into players stage payoffs and the transition probability on states. The existence result is applied to a model of industry dynamics and to a model of dynamic partisan electoral competition.

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    File URL: http://rcer.econ.rochester.edu/RCERPAPERS/rcer_562.pdf
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    Bibliographic Info

    Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 562.

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    Length: 26 pages
    Date of creation: Jun 2011
    Date of revision:
    Handle: RePEc:roc:rocher:562

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    Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.

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    1. Juan Escobar & Ulrich Doraszelski, 2008. "A Theory of Regular Markov Perfect Equilibria\\in Dynamic Stochastic Games: Genericity, Stability, and Purification," 2008 Meeting Papers 453, Society for Economic Dynamics.
    2. Herings,P. Jean-Jacques & Peeters,Ronald J.A.P, 2000. "Stationary Equilibria in Stochastic Games: Structure, Selection, and Computation," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    3. James Bergin & Dan Bernhardt, 2008. "Industry dynamics with stochastic demand," RAND Journal of Economics, RAND Corporation, vol. 39(1), pages 41-68.
    4. Alesina, Alberto, 1987. "Macroeconomic Policy in a Two-party System as a Repeated Game," Scholarly Articles 4552531, Harvard University Department of Economics.
    5. Harris, Christopher & Reny, Philip & Robson, Arthur, 1995. "The Existence of Subgame-Perfect Equilibrium in Continuous Games with Almost Perfect Information: A Case for Public Randomization," Econometrica, Econometric Society, vol. 63(3), pages 507-44, May.
    6. Andrzej Nowak, 2003. "On a new class of nonzero-sum discounted stochastic games having stationary Nash equilibrium points," International Journal of Game Theory, Springer, vol. 32(1), pages 121-132, December.
    7. Horst, Ulrich, 2005. "Stationary equilibria in discounted stochastic games with weakly interacting players," Games and Economic Behavior, Elsevier, vol. 51(1), pages 83-108, April.
    8. James Bergin & Dan Bernhardt, 1989. "Anonymous Sequential Games with Aggregate Uncertainty," Working Papers 760, Queen's University, Department of Economics.
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