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Title:Stationary equilibria in discounted stochastic games with weakly interacting players PDF Logo
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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