Stationary Markov perfect equilibria in discounted stochastic games

• 成果类型: Article
• 署名作者: He, Wei; Sun, Yeneng
• 署名单位: Chinese University of Hong Kong; National University of Singapore
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.01.007
• 发表日期: 2017
• 页码: 35-61
• 关键词: Stochastic game; Stationary Markov perfect equilibrium; (Decomposable) coarser transition kernel; Endogenous shocks; dynamic oligopoly

摘要

The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called (decomposable) coarser transition kernels. This result covers various earlier existence results on correlated equilibria, noisy stochastic games, stochastic games with finite actions and state-independent transitions, and stochastic games with mixtures of constant transition kernels as special cases. A remarkably simple proof is provided via establishing a new connection between stochastic games and conditional expectations of correspondences. New applications of stochastic games are presented as illustrative examples, including stochastic games with endogenous shocks and a stochastic dynamic oligopoly model. (C) 2017 Elsevier Inc. All rights reserved.