Continuous-time stochastic games

• 成果类型: Article
• 署名作者: Neyman, Abraham
• 署名单位: Hebrew University of Jerusalem; Hebrew University of Jerusalem
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2017.02.004
• 发表日期: 2017
• 页码: 92-130
• 关键词: Stochastic games; continuous-time games; equilibrium; Uniform equilibrium

摘要

We study continuous-time stochastic games, with a focus on the existence of their equilibria that are insensitive to a small imprecision in the specification of players' evaluations of streams of payoffs. We show that the stationary, namely, time-independent, discounting game has a stationary equilibrium and that the discounting game and the more general game with time-separable payoffs have an epsilon equilibrium that is an epsilon equilibrium in all games with a sufficiently small perturbation of the players' valuations. A limit point of discounting valuations need not be a discounting valuation as some of the mass may be pushed to infinity; it is represented by an average of a discounting valuation and a mass at infinity. We show that for every such limit point there is a strategy profile that is an epsilon equilibrium of all the discounting games with discounting valuations that are sufficiently close to the limit point. (C) 2017 Elsevier Inc. All rights reserved.