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Autor:innen: 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2002,74
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Stochastic difference equation
stochastic stability
stochastic games
random systems with complete connections
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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