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Dynamic equilibrium in games with randomly arriving players

Author

Listed:
  • Pierre Bernhard

    (Université Côte d'Azur, INRIA)

  • Marc Deschamps

    (Université de Bourgogne Franche-Comté, CRESE)

Abstract

There are real strategic situations where nobody knows ex ante how many players there will be in the game at each step. Assuming that entry and exit could be modelized by random processes whose probability laws are common knowledge, we use dynamic programming and piecewise deterministic Markov decision processes to investigate such games. We study the dynamic equilibrium in games with randomly arriving players in discrete and continuous time for both finite and infinite horizon. Existence of dynamic equilibrium in discrete time is proved and we develop explicit algorithms for both discrete and continuous time linear quadratic problems. In both cases we offer a resolution for a Cournot oligopoly with sticky prices.

Suggested Citation

  • Pierre Bernhard & Marc Deschamps, 2016. "Dynamic equilibrium in games with randomly arriving players," Working Papers 2016-10, CRESE.
    • Handle: RePEc:crb:wpaper:2016-10
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    References listed on IDEAS

    as
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    Cited by:

    1. Pierre Bernhard & Marc Deschamps, 2020. "Le Modèle de Cournot avec entrées aléatoires de firmes," SciencePo Working papers Main hal-03547666, HAL.
    2. Pierre Bernhard & Marc Deschamps, 2016. "Dynamic equilibrium in games with randomly arriving players," Working Papers 2016-10, CRESE.
    3. Pierre Bernhard & Marc Deschamps, 2016. "Cournot oligopoly with randomly arriving producers," Working Papers 2016-14, CRESE.
    4. Pierre Bernhard & Marc Deschamps, 2021. "Dynamic Equilibrium with Randomly Arriving Players," Dynamic Games and Applications, Springer, vol. 11(2), pages 242-269, June.

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    More about this item

    Keywords

    Nash equilibrium; Dynamic programming; Piecewise Deterministic Markov Decision Process; Cournot oligopoly; Sticky Prices.;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets

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