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An Update on Continuous-Time Stochastic Games of Fixed Duration

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  • Yehuda John Levy

    (University of Glasgow)

Abstract

This paper shows that continuous-time stochastic games of fixed duration need not possess equilibria in Markov strategies. The example requires payoffs and transitions to depend on time in a continuous but irregular (almost nowhere almost differentiable) way. This example offers a correction to the erroneous construction presented previously in Levy (Dyn Games Appl 3(2):279–312, 2013. https://doi.org/10.1007/s13235-012-0067-2 ).

Suggested Citation

  • Yehuda John Levy, 2021. "An Update on Continuous-Time Stochastic Games of Fixed Duration," Dynamic Games and Applications, Springer, vol. 11(2), pages 418-432, June.
    • Handle: RePEc:spr:dyngam:v:11:y:2021:i:2:d:10.1007_s13235-020-00361-0
    DOI: 10.1007/s13235-020-00361-0
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    References listed on IDEAS

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    1. Yehuda Levy, 2013. "Discounted Stochastic Games With No Stationary Nash Equilibrium: Two Examples," Econometrica, Econometric Society, vol. 81(5), pages 1973-2007, September.
    2. Yehuda Levy, 2013. "Continuous-Time Stochastic Games of Fixed Duration," Dynamic Games and Applications, Springer, vol. 3(2), pages 279-312, June.
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