The emergence of rational behavior in the presence of stochastic perturbations

DOI10.1214/09-AAP651MaRDI QIDQ990385zbMATH OpenOpenAlexWikidataFDO

Authors Panayotis Mertikopoulos, Aris L. Moustakas

Publication date 1 September 2010

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0906.2094

zbMATH Keywords

stochastic differential equationLyapunov functionNash equilibriumdominancecongestion gamesasymptotic stochastic stabilityexponential learningreplicator dinamics

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Evolutionary games (91A22) Rationality and learning in game theory (91A26)

Abstract: We study repeated games where players use an exponential learning scheme in order to adapt to an ever-changing environment. If the game's payoffs are subject to random perturbations, this scheme leads to a new stochastic version of the replicator dynamics that is quite different from the "aggregate shocks" approach of evolutionary game theory. Irrespective of the perturbations' magnitude, we find that strategies which are dominated (even iteratively) eventually become extinct and that the game's strict Nash equilibria are stochastically asymptotically stable. We complement our analysis by illustrating these results in the case of congestion games.

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Cited in

(20)

• Metastability in stochastic replicator dynamics
• Imitation dynamics with payoff shocks
• Learning in nonatomic games. I: Finite action spaces and population games
• scientific article; zbMATH DE number 6719836 (Why is no real title available?)
• Convergence to equilibrium of logit dynamics for strategic games
• Riemannian game dynamics
• The emergence of rational behavior in the presence of stochastic perturbations
• Adjustment dynamics and rational play in games
• Penalty-regulated dynamics and robust learning procedures in games
• On the convergence of gradient-like flows with noisy gradient input
• A stochastic variant of replicator dynamics in zero-sum games and its invariant measures
• Nested replicator dynamics, nested logit choice, and similarity-based learning
• Inertial game dynamics and applications to constrained optimization
• Optimal irrational behavior in continuous time
• Learning in games via reinforcement and regularization
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• On the robustness of learning in games with stochastically perturbed payoff observations
• Interference mitigation via pricing in time-varying cognitive radio systems
• Higher order game dynamics
• Evolutionary game theory: a renaissance

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