A strategic market game with active bankruptcy

DOI10.1016/S0304-4068(00)00038-0MaRDI QIDQ1590380zbMATH OpenWikidataFDO

Authors John D. Geanakoplos, Ioannis Karatzas, Martin Shubik, William D. Sudderth

Publication date 26 October 2001

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4068(00)00038-0

zbMATH Keywords

Markov equilibriumoptimization problemstrategic market game

Mathematics Subject Classification ID

Dynamic programming (90C39) Games with infinitely many players (91A07) Noncooperative games (91A10) Applications of game theory (91A80) Macroeconomic theory (monetary models, models of taxation) (91B64)

Review text

The authors study a mathematical model of a macroeconomic system including one nondurable commodity, countably many time periods and a continuum of agents. It is a stochastic model, for individual agents' endowments fluctuate in a random fashion from period to period. A special type of equilibrium, called ``stationary Markov equilibrium, is investigated. A single agent is faced with an optimization problem. The latter is considered as a discounted dynamic programming problem, solved by using Bellman's method. The way of constructing a stationary Markov equilibrium is provided. Some examples are considered where the one-person game and the stationary Markov equilibrium are calculated explicitly.

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Cites work

• A strategic market game with active bankruptcy
• A strategic market game with secured lending
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Cited in

(11)

• A strategic market game with secured lending
• Strategic market games: an introduction.
• On the consistency of stationary Markov equilibria with an exogenous distribution.
• A strategic market game with active bankruptcy
• Strategic behavior in financial markets
• Inflationary equilibrium in a stochastic economy with independent agents
• Resort pricing and bankruptcy
• \(n\)-person dynamic strategic market games
• Construction of Stationary Markov Equilibria in a Strategic Market Game
• Folk theorem under bankruptcy
• Strategic market games with cyclic endowments

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