Stochastic bequest games

• 成果类型: Article
• 署名作者: Balbus, Lukasz; Jaskiewicz, Anna; Nowak, Andrzej S.
• 署名单位: University of Zielona Gora; Wroclaw University of Science & Technology
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2015.02.017
• 发表日期: 2015
• 页码: 247-256
• 关键词: Stochastic game; Bequest game; Stationary Markov perfect equilibrium; Entropic risk measure

摘要

In this paper, we prove the existence of a stationary Markov perfect equilibrium for a stochastic version of the bequest game. A novel feature in our approach is the fact that the transition probability need not be non-atomic and therefore, the deterministic production function is not excluded from consideration. Moreover, in addition to the common expected utility we also deal with a utility that takes into account an attitude of the generation towards risk. (C) 2015 Elsevier Inc. All rights reserved.