We define a class of dynamic Markovian games that we call directional dynamic games (DDG) in which directionality is represented by a partial order on the state space. We propose a fast and robust state recursion algorithm that can find a Markov perfect equilibrium (MPE) via backward induction...

We introduce a computationally tractable dynamic equilibrium model of the automobile market where new and used cars of multiple types (e.g. makes/models) are traded by heterogeneous consumers. Prices and quantities are determined endogenously to equate supply and demand for all car types and...

This paper develops power series expansions of a general class of moment functions, including transition densities and option prices, of continuous-time Markov processes, including jump di⁄usions. The proposed expansions extend the ones in Kristensen and Mele (2011) to cover general Markov...

We set up general conditions for a general non-linear Markov model to be geometrically ergodic (which implies beta-mixing of the stationary solution) and existence of certain moments. The conditions are fairly general and can be applied to most known time series models. We demonstrate the...