Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65289
Authors: 
Horst, Ulrich
Year of Publication: 
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: 
Document Type: 
Working Paper

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