Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65352
Authors: 
Horst, Ulrich
Year of Publication: 
2002
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,74
Abstract: 
We consider the stochastic sequence {Yi}t E N defined recursively by the linear relation Yt+l = AtYt + Bt in a random environment. The environment is described by the stochastic process {(At, Bt ) }t E N and is under the simultaneous control of several agents playing a discounted stochastic game. We formulate sufficient conditions on the game which ensure the existence of Nash equilibrium in Markov strategies which has the additional property that, in equilibrium, the process {Yt} t E N converges in distribution to a unique stationary sequence.
Subjects: 
Stochastic difference equation
stochastic stability
stochastic games
random systems with complete connections
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.