Stability of linear stochastic difference equations in strategically controlled random environments

DOI10.1239/AAP/1067436330MaRDI QIDQ4454108zbMATH OpenOpenAlexFDO

Authors Ulrich Horst

Publication date 7 March 2004

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1067436330

zbMATH Keywords

Markov strategyNash equilibriastochastic difference equationstochastic game

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of statistics to economics (62P20) Stochastic games, stochastic differential games (91A15) Stochastic stability in control theory (93E15)

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Cites work

• A Microeconomic Approach to Diffusion Models For Stock Prices
• Equilibria in systems of social interactions
• Existence of equilibrium stationary strategies in discounted noncooperative stochastic games with uncountable state space
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• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• Invariant measures for Markov processes arising from iterated function systems with place-dependent probabilities
• Lipschitz continuous policy functions for strongly concave optimization problems
• Markov equilibria of stochastic games with complementarities
• Markov processes and learning models
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Stationary Markov Equilibria
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients

Cited in

(6)

• Investments in random environments
• Convergence of deep fictitious play for stochastic differential games
• On stochastic games in economics
• A stochastic-difference-equation model for hedge-fund returns
• Divergent perpetuities modulated by regime switches
• Multivariate linear recursions with Markov-dependent coefficients

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