Discrete time stochastic multi-player competitive games with affine payoffs

DOI10.1016/J.SPA.2015.07.013MaRDI QIDQ898397zbMATH OpenOpenAlexFDO

Authors Ivan Guo, Marek Rutkowski

Publication date 8 December 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.2716

zbMATH Keywords

Nash equilibriumstochastic gameoptimal equilibriumredistribution gamemulti-player gameaffine gameDynkin stopping game

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Stochastic games, stochastic differential games (91A15) Discrete-time games (91A50)

Abstract: A new class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is proposed and examined. Our games cover as a very special case the classic two-person stochastic stopping games introduced by Dynkin (1969). We first extend to the case of a single-period deterministic affine game the results from Guo and Rutkowski (2012,2014) where a particular subclass of competitive stopping games was studied. We identify conditions under which optimal equilibria and value for a multi-player competitive game with affine redistribution of payoffs exist. We also examine stochastic multi-period affine games and we show that, under mild assumptions, they can be solved by the backward induction.

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Cited in

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• DISCRETE TIME DYNAMIC GAMES WITH CONTINUUM OF PLAYERS II: SEMI-DECOMPOSABLE GAMES
• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
• Discrete-time multi-player stopping and quitting games with redistribution of payoffs
• Arbitrage-free pricing of multi-person game claims in discrete time

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