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Stochastic Games with Unbounded Payoffs: Applications to Robust Control in Economics

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  • Anna Jaśkiewicz

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  • Andrzej Nowak

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Abstract

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Suggested Citation

  • Anna Jaśkiewicz & Andrzej Nowak, 2011. "Stochastic Games with Unbounded Payoffs: Applications to Robust Control in Economics," Dynamic Games and Applications, Springer, vol. 1(2), pages 253-279, June.
  • Handle: RePEc:spr:dyngam:v:1:y:2011:i:2:p:253-279
    DOI: 10.1007/s13235-011-0013-8
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    References listed on IDEAS

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    1. Le Van, Cuong & Morhaim, Lisa, 2002. "Optimal Growth Models with Bounded or Unbounded Returns: A Unifying Approach," Journal of Economic Theory, Elsevier, vol. 105(1), pages 158-187, July.
    2. Mertens, Jean-Francois, 2002. "Stochastic games," Handbook of Game Theory with Economic Applications,in: R.J. Aumann & S. Hart (ed.), Handbook of Game Theory with Economic Applications, edition 1, volume 3, chapter 47, pages 1809-1832 Elsevier.
    3. Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2006. "Dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 128(1), pages 4-44, May.
    4. Janusz Matkowski & Andrzej Nowak, 2011. "On discounted dynamic programming with unbounded returns," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(3), pages 455-474, April.
    5. Alvarez, Fernando & Stokey, Nancy L., 1998. "Dynamic Programming with Homogeneous Functions," Journal of Economic Theory, Elsevier, vol. 82(1), pages 167-189, September.
    6. Timothy Cogley & Riccardo Colacito & Lars Peter Hansen & Thomas J. Sargent, 2008. "Robustness and U.S. Monetary Policy Experimentation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1599-1623, December.
    7. Kamihigashi, Takashi, 2007. "Stochastic optimal growth with bounded or unbounded utility and with bounded or unbounded shocks," Journal of Mathematical Economics, Elsevier, vol. 43(3-4), pages 477-500, April.
    8. Bhattacharya,Rabi & Majumdar,Mukul, 2007. "Random Dynamical Systems," Cambridge Books, Cambridge University Press, number 9780521825658, August.
    9. V. Filipe Martins-da-Rocha & Yiannis Vailakis, 2010. "Existence and Uniqueness of a Fixed Point for Local Contractions," Econometrica, Econometric Society, vol. 78(3), pages 1127-1141, May.
    10. Nowak, Andrzej S. & Szajowski, Krzysztof, 1998. "Nonzero-sum Stochastic Games," MPRA Paper 19995, University Library of Munich, Germany, revised 1999.
    11. Bhattacharya,Rabi & Majumdar,Mukul, 2007. "Random Dynamical Systems," Cambridge Books, Cambridge University Press, number 9780521532723, August.
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    Citations

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    Cited by:

    1. repec:spr:topjnl:v:26:y:2018:i:2:d:10.1007_s11750-017-0465-0 is not listed on IDEAS
    2. Luque-Vásquez, Fernando & Adolfo Minjárez-Sosa, J., 2014. "A note on the σ-compactness of sets of probability measures on metric spaces," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 212-214.
    3. J. Minjárez-Sosa, 2015. "Markov control models with unknown random state–action-dependent discount factors," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(3), pages 743-772, October.
    4. Mele, Antonio & Molnar, Krisztina & Santoro, Sergio, 2014. "On the perils of stabilizing prices when agents are learning," Discussion Paper Series in Economics 1/2015, Norwegian School of Economics, Department of Economics.
    5. A. Jaśkiewicz & J. Matkowski & A. S. Nowak, 2013. "Persistently Optimal Policies in Stochastic Dynamic Programming with Generalized Discounting," Mathematics of Operations Research, INFORMS, vol. 38(1), pages 108-121, February.
    6. repec:eee:jetheo:v:173:y:2018:i:c:p:181-200 is not listed on IDEAS
    7. Nicole Bauerle & Anna Ja'skiewicz, 2015. "Stochastic Optimal Growth Model with Risk Sensitive Preferences," Papers 1509.05638, arXiv.org.
    8. Andrzej Nowak & Eilon Solan & Sylvain Sorin, 2013. "Preface: Special Issue on Stochastic Games," Dynamic Games and Applications, Springer, vol. 3(2), pages 125-127, June.

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