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Stationary Markov perfect equilibria in discounted stochastic games

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  • He, Wei
  • Sun, Yeneng

Abstract

The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called “(decomposable) coarser transition kernels”. This result covers various earlier existence results on correlated equilibria, noisy stochastic games, stochastic games with finite actions and state-independent transitions, and stochastic games with mixtures of constant transition kernels as special cases. A remarkably simple proof is provided via establishing a new connection between stochastic games and conditional expectations of correspondences. New applications of stochastic games are presented as illustrative examples, including stochastic games with endogenous shocks and a stochastic dynamic oligopoly model.

Suggested Citation

  • He, Wei & Sun, Yeneng, 2017. "Stationary Markov perfect equilibria in discounted stochastic games," Journal of Economic Theory, Elsevier, vol. 169(C), pages 35-61.
  • Handle: RePEc:eee:jetheo:v:169:y:2017:i:c:p:35-61
    DOI: 10.1016/j.jet.2017.01.007
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    References listed on IDEAS

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    1. repec:spr:joecth:v:66:y:2018:i:2:d:10.1007_s00199-017-1067-7 is not listed on IDEAS
    2. repec:spr:dyngam:v:9:y:2019:i:1:d:10.1007_s13235-018-0248-8 is not listed on IDEAS

    More about this item

    Keywords

    Stochastic game; Stationary Markov perfect equilibrium; (Decomposable) coarser transition kernel; Endogenous shocks; Dynamic oligopoly;

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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