Search Results - subject:"STOCHASTIC GAMES"

A Strategic Market Game with Active Bankruptcy

Geanakoplos, J.; Karatzas, I.; Shubik, M.; Sudderth, W. - Santa Fe Institute - 1999

We construct stationary Markov equilibria for an economy with fiat money, one nondurable commodity, countably-many time periods, and a continuum of agents. The total production of commodity remains constant, but individual agents' endowments fluctuate in a random fashion from period to period....

Persistent link: https://www.econbiz.de/10005623625

Genericity and Markovian Behavior in Stochastic Games

Haller, Hans; Lagunoff, Roger - EconWPA - 1999

This paper examines Markov Perfect equilibria of general, finite state stochastic games. Our main result is that the … extensions to lower dimensional stochastic games like the alternating move game. …

Persistent link: https://www.econbiz.de/10005550934

A decomposition approach for undiscounted two-person zero-sum stochastic games

Avsar, Zeynep Müge; Baykal-Gürsoy, Melike - In: Computational Statistics 49 (1999) 3, pp. 483-500

Two-person zero-sum stochastic games are considered under the long-run average expected payoff criterion. State and … algorithm is introduced for solving two-person zero-sum stochastic games: First, the state space is decomposed into maximal …

Persistent link: https://www.econbiz.de/10010759140

Sensitive equilibria for ergodic stochastic games with countable state spaces

Nowak, Andrzej S. - In: Computational Statistics 50 (1999) 1, pp. 65-76

We consider stochastic games with countable state spaces and unbounded immediate payoff functions. Our assumptions on … strategies in some classes of zero-sum stochastic games. By sensitive optimality we mean overtaking or 1-optimality. We also … provide a new Nash equilibrium theorem for a class of ergodic nonzero-sum stochastic games with denumerable state spaces …

Persistent link: https://www.econbiz.de/10010759158

On the existence of good stationary strategies for nonleavable stochastic games

Secchi, Piercesare - In: International Journal of Game Theory 27 (1998) 1, pp. 61-81

strategies are available to player II for nonleavable stochastic games with finite state space. Our methods will also yield …

Persistent link: https://www.econbiz.de/10005375585

Hedging American contingent claims with constrained portfolios

Karatzas, Ioannis; (*), S. G. Kou - In: Finance and Stochastics 2 (1998) 3, pp. 215-258

, stochastic games, and uses tools from convex analysis. …

Persistent link: https://www.econbiz.de/10005390719

Equilibria in repeated games of incomplete information: The general symmetric case

Neyman, Abraham; Sorin, Sylvain - In: International Journal of Game Theory 27 (1998) 2, pp. 201-210

Every two person repeated game of symmetric incomplete information, in which the signals sent at each stage to both players are identical and generated by a state and moves dependent probability distribution on a given finite alphabet, has an equilibrium payoff.

Persistent link: https://www.econbiz.de/10005598520

Duality and markovian strategies

Rosenberg, Dinah - In: International Journal of Game Theory 27 (1998) 4, pp. 577-597

We introduce the dual of a stochastic game with incomplete information on one side, and we deduce some properties of optimal strategies of the uninformed player.

Persistent link: https://www.econbiz.de/10005755763

"Markov Perfect Equilibria in Repeated Asynchronous Choice Games"

Lagunoff, Roger; Haller, Hans - EconWPA - 1997

This paper examines the issue of multiplicity of equilibria in alternating move repeated games with two players. Such games are canonical models of environments with repeated, asynchronous choices due to inertia or replacement. We focus our attention on Markov Perfect equilibria (MPE). These are...

Persistent link: https://www.econbiz.de/10005550884

"Asynchronous Choice in Repeated Coordination Games"

Lagunoff, Roger; Matsui, Akihiko - EconWPA - 1997

. The result complement a recent Folk Theorem by Dutta (1995) for stochastic games which can be applied to asynchronously …

Persistent link: https://www.econbiz.de/10005118607