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A multinomial probit model of stochastic evolution

  • Myatt, David P.
  • Wallace, Chris

A strategy revision process in symmetric normal form games is proposed. Following Kandori, Mailath, and Rob (1993), members of a population periodically revise their strategy choice, and choose a myopic best response to currently observed play. Their payoffs are perturbed by normally distributed Harsanyian (1973) trembles, so that strategies are chosen according to multinomial probit probabilities. As the variance of payoffs is allowed to vanish, the graph theoretic methods of the earlier literature continue to apply. The distributional assumption enables a convenient closed form characterisation for the weights of the rooted trees. An illustration of the approach is offered, via a consideration of the role of dominated strategies in equilibrium selection.

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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 113 (2003)
Issue (Month): 2 (December)
Pages: 286-301

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Handle: RePEc:eee:jetheo:v:113:y:2003:i:2:p:286-301
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

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  1. David P. Myatt & Chris Wallace, 2002. "Adaptive Play by Idiosyncratic Agents," Economics Series Working Papers 89, University of Oxford, Department of Economics.
  2. Ellison, Glenn, 2000. "Basins of Attraction, Long-Run Stochastic Stability, and the Speed of Step-by-Step Evolution," Review of Economic Studies, Wiley Blackwell, vol. 67(1), pages 17-45, January.
  3. Maruta, Toshimasa, 1997. "On the Relationship between Risk-Dominance and Stochastic Stability," Games and Economic Behavior, Elsevier, vol. 19(2), pages 221-234, May.
  4. John C. Harsanyi & Reinhard Selten, 1988. "A General Theory of Equilibrium Selection in Games," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262582384, June.
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