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Noisy Stochastic Games

  • John Duggan

    ()

    (W. Allen Wallis Institute of Political Economy, 107 Harkness Hall, University of Rochester, Rochester, NY 14627-0158)

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    This paper establishes existence of a stationary Markov perfect equilibrium in general stochastic games with noise a component of the state that is nonatomically distributed and not directly affected by the previous periods state and actions. Noise may be simply a payoff irrelevant public randomization device, delivering known results on existence of correlated equilibrium as a special case. More generally, noise can take the form of shocks that enter into players stage payoffs and the transition probability on states. The existence result is applied to a model of industry dynamics and to a model of dynamic partisan electoral competition.

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    File URL: http://rcer.econ.rochester.edu/RCERPAPERS/rcer_562.pdf
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    Paper provided by University of Rochester - Center for Economic Research (RCER) in its series RCER Working Papers with number 562.

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    Length: 26 pages
    Date of creation: Jun 2011
    Date of revision:
    Handle: RePEc:roc:rocher:562
    Contact details of provider: Postal: University of Rochester, Center for Economic Research, Department of Economics, Harkness 231 Rochester, New York 14627 U.S.A.

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    1. James Bergin & Dan Bernhardt, 2006. "Industry Dynamics with Stochastic Demand," Working Papers 1043, Queen's University, Department of Economics.
    2. Herings, P. Jean-Jacques & Peeters, Ronald J. A. P., 2004. "Stationary equilibria in stochastic games: structure, selection, and computation," Journal of Economic Theory, Elsevier, vol. 118(1), pages 32-60, September.
    3. Alesina, Alberto, 1987. "Macroeconomic Policy in a Two-party System as a Repeated Game," Scholarly Articles 4552531, Harvard University Department of Economics.
    4. repec:spr:compst:v:66:y:2007:i:3:p:513-530 is not listed on IDEAS
    5. Horst, Ulrich, 2002. "Stationary equilibria in discounted stochastic games with weakly interacting players," SFB 373 Discussion Papers 2002,77, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    6. Doraszelski, Ulrich & Escobar, Juan, 2010. "A theory of regular Markov perfect equilibria in dynamic stochastic games: genericity, stability, and purification," Theoretical Economics, Econometric Society, vol. 5(3), September.
    7. Andrzej Nowak, 2007. "On stochastic games in economics," Mathematical Methods of Operations Research, Springer, vol. 66(3), pages 513-530, December.
    8. Bergin, James & Bernhardt, Dan, 1992. "Anonymous sequential games with aggregate uncertainty," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 543-562.
    9. Harris, Christopher & Reny, Philip & Robson, Arthur, 1995. "The Existence of Subgame-Perfect Equilibrium in Continuous Games with Almost Perfect Information: A Case for Public Randomization," Econometrica, Econometric Society, vol. 63(3), pages 507-44, May.
    10. Andrzej Nowak, 2003. "On a new class of nonzero-sum discounted stochastic games having stationary Nash equilibrium points," International Journal of Game Theory, Springer, vol. 32(1), pages 121-132, December.
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