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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

Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2002,77.

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Date of creation: 2002
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Handle: RePEc:zbw:sfb373:200277

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Keywords: Stochastic Games; Stationary Equilibria; Microstructure Models for Financial Markets;

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Cited by:
  1. Escobar, Juan F., 2013. "Equilibrium analysis of dynamic models of imperfect competition," International Journal of Industrial Organization, Elsevier, Elsevier, vol. 31(1), pages 92-101.
  2. John Duggan, 2011. "Noisy Stochastic Games," RCER Working Papers 562, University of Rochester - Center for Economic Research (RCER).
  3. Roger Lagunoff (Georgetown University), 2005. "Markov Equilibrium in Models of Dynamic Endogenous Political Institutions," Working Papers, Georgetown University, Department of Economics gueconwpa~05-05-07, Georgetown University, Department of Economics.
  4. Roger Lagunoff, 2004. "The Dynamic Reform of Political Institutions," Econometric Society 2004 Latin American Meetings, Econometric Society 47, Econometric Society.
  5. 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.
  6. Andrzej Nowak, 2007. "On stochastic games in economics," Computational Statistics, Springer, Springer, vol. 66(3), pages 513-530, December.
  7. 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, Elsevier, vol. 37(5), pages 1019-1039.
  8. John Duggan, 2012. "Noisy Stochastic Games," RCER Working Papers 570, University of Rochester - Center for Economic Research (RCER).
  9. Yehuda (John) Levy, 2012. "A Discounted Stochastic Game with No Stationary Equilibria: The Case of Absolutely Continuous Transitions," Discussion Paper Series, The Center for the Study of Rationality, Hebrew University, Jerusalem dp612, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  10. John Duggan & Tasos Kalandrakis, 2007. "Dynamic Legislative Policy Making," Wallis Working Papers, University of Rochester - Wallis Institute of Political Economy WP45, University of Rochester - Wallis Institute of Political Economy.
  11. Mitri Kitti, 2011. "Conditionally Stationary Equilibria in Discounted Dynamic Games," Dynamic Games and Applications, Springer, Springer, vol. 1(4), pages 514-533, December.

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