Search Results - subject:"STOCHASTIC GAMES"

Time consistent Markov policies in dynamic economies with quasi-hyperbolic consumers

Balbus, Lukasz; Reffett, Kevin L.; Woźny, Łukasz - In: International journal of game theory : official journal … 44 (2015) 1, pp. 83-112

Persistent link: https://www.econbiz.de/10011378394

Riskiness, Risk Aversion, and Risk Sharing: Cooperation in a Dynamic Insurance Game

Laczó, Sarolta - 2008

This paper examines how cooperation in an insurance game depends on risk preferences and the riskiness of income. It considers a dynamic game where commitment is limited, and characterizes the level of cooperation as measured by the reciprocal of the discount factor above which perfect risk...

Persistent link: https://www.econbiz.de/10010494384

Ergodic Equilibria in Stochastic Sequential Games

Large, Jeremy; Norman, Thomas - Department of Economics, Oxford University - 2008

this problem, thus avoiding the (often intractable) dynamic programming usually required to solve stochastic games. This …

Persistent link: https://www.econbiz.de/10005047703

Riskiness, Risk Aversion, and Risk Sharing: Cooperation in a Dynamic Insurance Game

Laczó, Sarolta - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2008

, com- parative statics, dynamic stochastic games JEL codes: C73, D80 ∗ Preliminary, comments welcome. I thank Pierre Dubois …

Persistent link: https://www.econbiz.de/10005242958

Fixed points of parameterized perturbations

McLennan, Andrew - In: Journal of Mathematical Economics 55 (2014) C, pp. 186-189

Let X be a convex subset of a locally convex topological vector space, let U⊂X be open with U¯ compact, let F:U¯→X be an upper semicontinuous convex valued correspondence with no fixed points in U¯∖U, let P be a compact absolute neighborhood retract, and let ρ:U¯→P be a continuous...

Persistent link: https://www.econbiz.de/10011118018

A folk theorem for stochastic games with private almost-perfect monitoring

Aiba, Katsuhiko - In: Games and Economic Behavior 86 (2014) C, pp. 58-66

We prove a folk theorem for stochastic games with private, almost-perfect monitoring and observable states when the … holds, for example, for irreducible stochastic games. Our result establishes that the sophisticated construction of Hörner … and Olszewski (2006) for repeated games can be adapted to stochastic games, reinforcing our conviction that much knowledge …

Persistent link: https://www.econbiz.de/10011049699

On the limit perfect public equilibrium payoff set in repeated and stochastic games

Hörner, Johannes; Takahashi, Satoru; Vieille, Nicolas - In: Games and Economic Behavior 85 (2014) C, pp. 70-83

payoffs in a class of finite stochastic games (in particular, repeated games) as the discount factor tends to one. As a first …

Persistent link: https://www.econbiz.de/10011049759

A constructive study of Markov equilibria in stochastic games with strategic complementarities

Balbus, Łukasz; Reffett, Kevin; Woźny, Łukasz - In: Journal of Economic Theory 150 (2014) C, pp. 815-840

We study a class of infinite horizon, discounted stochastic games with strategic complementarities. In our class of …

Persistent link: https://www.econbiz.de/10011043005

Nash Points for Nonzero-Sum Stochastic Differential Games with Separate Hamiltonians

Mannucci, Paola - In: Dynamic Games and Applications 4 (2014) 3, pp. 329-344

We study a nonzero-sum stochastic differential game under the assumptions that the control sets are multidimensional convex compact, the game has separate dynamic and running costs and the multifunctions representing the optimal feedbacks have convex values. To prove the existence of Nash...

Persistent link: https://www.econbiz.de/10011001882

Zero-sum risk-sensitive stochastic games on a countable state space

Basu, Arnab; Ghosh, Mrinal Kanti - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 961-983

Infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled Markov chains …

Persistent link: https://www.econbiz.de/10010719755