Stationary Markov perfect equilibria in discounted stochastic games
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Publication:2397628
DOI10.1016/J.JET.2017.01.007zbMATH Open1400.91043arXiv1311.1562OpenAlexW2139918006MaRDI QIDQ2397628FDOQ2397628
Publication date: 23 May 2017
Published in: Journal of Economic Theory (Search for Journal in Brave)
Abstract: The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called "(decomposable) coarser transition kernels". This result covers various earlier existence results on correlated equilibria, noisy stochastic games, stochastic games with finite actions and state-independent transitions, and stochastic games with mixtures of constant transition kernels as special cases. A remarkably simple proof is provided via establishing a new connection between stochastic games and conditional expectations of correspondences. New applications of stochastic games are presented as illustrative examples, including stochastic games with endogenous shocks and a stochastic dynamic oligopoly model.
Full work available at URL: https://arxiv.org/abs/1311.1562
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stochastic gamestationary Markov perfect equilibriumdynamic oligopoly(decomposable) coarser transition kernelendogenous shocks
Stochastic games, stochastic differential games (91A15) Special types of economic markets (including Cournot, Bertrand) (91B54)
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