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Information and the Existence of Stationary Markovian Equilibrium

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We describe conditions for the existence of a stationary Markovian equilibrium when total production or total endowment is a random variable. Apart from regularity assumptions, there are two crucial conditions: (i) low information -- agents are ignorant of both total endowment and their own endowments when they make decisions in a given period, and (ii) proportional endowments -- the endowment of each agent is in proportion, possibly a random proportion, to the total endowment. When these conditions hold, there is a stationary equilibrium. When they do not hold, such equilibrium need not exist.

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File URL: http://cowles.yale.edu/sites/default/files/files/pub/d12/d1261.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1261.

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Length: 12 pages
Date of creation: Jun 2000
Publication status: Published in Annals of the International Society of Dynamic Games (2005), 7: 3-20
Handle: RePEc:cwl:cwldpp:1261
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Yale University, Box 208281, New Haven, CT 06520-8281 USA

Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.yale.edu/

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Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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  1. Karatzas, Ioannis & Shubik, Martin & Sudderth, William D., 1997. "A strategic market game with secured lending," Journal of Mathematical Economics, Elsevier, vol. 28(2), pages 207-247, September.
  2. Ioannis Karatzas & Martin Shubik & William D. Sudderth, 1992. "Construction of Stationary Markov Equilibria in a Strategic Market Game," Cowles Foundation Discussion Papers 1033, Cowles Foundation for Research in Economics, Yale University.
  3. Geanakoplos, J. & Karatzas, I. & Shubik, M. & Sudderth, W., 2000. "A strategic market game with active bankruptcy," Journal of Mathematical Economics, Elsevier, vol. 34(3), pages 359-396, November.
  4. Feldman, Mark & Gilles, Christian, 1985. "An expository note on individual risk without aggregate uncertainty," Journal of Economic Theory, Elsevier, vol. 35(1), pages 26-32, February.
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