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Noisy Stochastic Games

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  • John Duggan

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

Abstract

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.

Suggested Citation

  • John Duggan, 2011. "Noisy Stochastic Games," RCER Working Papers 562, University of Rochester - Center for Economic Research (RCER).
  • Handle: RePEc:roc:rocher:562
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    File URL: http://rcer.econ.rochester.edu/RCERPAPERS/rcer_562.pdf
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    References listed on IDEAS

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    1. 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.
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    7. Alesina, Alberto, 1987. "Macroeconomic Policy in a Two-party System as a Repeated Game," Scholarly Articles 4552531, Harvard University Department of Economics.
    8. Andrzej Nowak, 2007. "On stochastic games in economics," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(3), pages 513-530, December.
    9. A. S. Nowak & T. E. S. Raghavan, 1992. "Existence of Stationary Correlated Equilibria with Symmetric Information for Discounted Stochastic Games," Mathematics of Operations Research, INFORMS, vol. 17(3), pages 519-526, August.
    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;Game Theory Society, vol. 32(1), pages 121-132, December.
    11. 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 507-544, May.
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