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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/65289
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| Title: | | Stationary equilibria in discounted stochastic games with weakly interacting players  |
| Authors: | | Horst, Ulrich |
| Issue Date: | | 2002 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,77 |
| Abstract: | | We give sufficient conditions for a non-zero sum discounted stochastic game with compact and convex action spaces and with norm-continuous transition probabilities, but with possibly unbounded state space to have a N ash equilibrium in homogeneous Markov strategies that depends in a Lipsehitz continuous manner on the current state. H the underlying state space is compact this yields the existence of a stationary equilibrium. For a special class of stochastic games which arise in microstructure models for financial markets we establish the existence of equilibria which guarantee that the state sequence converges in distribution to a unique stationary measure. |
| Subjects: | | Stochastic Games Stationary Equilibria Microstructure Models for Financial Markets |
| JEL: | | D81 E32 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10049475 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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