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2 edition of Construction of stationary Markov equilibria in a strategic market game found in the catalog.

Construction of stationary Markov equilibria in a strategic market game

Ioannis Karatzas

Construction of stationary Markov equilibria in a strategic market game

by Ioannis Karatzas

  • 88 Want to read
  • 24 Currently reading

Published by Yale University, Cowles Foundation in New Haven, CN .
Written in English


Edition Notes

StatementIoannis Karatzas, Martin Shubik, William D. Sudderth.
SeriesEconomics research paper series / Yale University, Cowles Foundation -- no.1033, Economic research paper (Yale University, Cowles Foundation) -- no.1033.
ContributionsShubik, Martin., Sudderth, William D.
ID Numbers
Open LibraryOL13973829M

game has strategic complementarities. In contrast to previous studies (e.g., Curtat () and Amir ()), we assume herein that the sets of actions and the set of states is finite and do not assume dominant diagonal conditions for payoffs and the transition probability, which yield the uniqueness of equilibria. The greatest equilibrium is Cited by: 2. For instance, a state variable can be the current play in a repeated game, or it can be any interpretation of a recent sequence of play. A profile of Markov strategies is a Markov perfect equilibrium if it is a Nash equilibrium in every state of the s of games: Symmetric game, Perfect .

  n -Person Dynamic Strategic Market Games n -Person Dynamic Strategic Market Games Więcek, Piotr We present a discrete n -person model of a dynamic strategic market game. We show that for some values of the discount factor the game possesses a stationary equilibrium where all the players make high : Więcek, Piotr. Induction Step: Assume that the probability of n switches in the interval (t1,t2]is pn = e−γ(t2−t1)(γ(t2−t1)) n n! for n = 0 N. Then to find the probability that there are N + 1 switches in the interval, condition on the time of the 1st switch in the interval, which occurs at time t′ with probability γdt′.Then there must be 0 switches in the intervalFile Size: KB.

then $\mathbf{\pi}$ is called a stationary distribution for the Markov chain. Equilibrium Distributions: Thm: Let $\{X_n, n \geq 0\}$ be a regular homogeneous finite-state Markov chain. with transition matrix $\mathbf{P}$. What is stochastic calculus? Stochastic Analysis' 'Construction of stationary Markov equilibria in a strategic market game' a book called "The Humongous Book of Calculus Problems", by W.


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Construction of stationary Markov equilibria in a strategic market game by Ioannis Karatzas Download PDF EPUB FB2

Title: Construction of Stationary Markov Equilibria in a Strategic Market Game. Authors: Ioannis Karatzas, Martin Shubik, William D. SudderthCited by: CONSTRUCTION OF STATIONARY MARKOV EQUILIBRIA IN A STRATEGIC MARKET GAME IOANNIS KARATZAS, MARTIN SHUBIK, AND WILLIAM D.

SUDDERTH This paper studies stationary noncooperative equilibria in an economy with fiat money, one nondurable commodity, countably many time-periods, no credit or futures market, and a. Construction of Stationary Markov Equilibria in A Strategic Market Game[l] by Ioannis Karatzas Department of Statistics Columbia University, New York, NY Martin Shubik Cowles Foundation for Research in Economics Yale University, New Haven, CT and William D.

Sudderth School of Statistics University of Minnesota, Minneapolis, MN. Construction of Stationary Markov Equilibria in a Strategic Market Game Article (PDF Available) in Mathematics of Operations Research 19() January with 39 Reads How we measure 'reads'.

This paper studies stationary noncooperative equilibria in an economy with fiat money, one nondurable commodity, countably many time periods, no credit or futures market, and a measure space of agents -- who may differ in their preferences.

Springer, New York Karatzas I, Shubik M, Sudderth WD () Construction of stationary Markov equilibria in a strategic market game. Math Oper Res 19(4)–Author: Piotr Wiecek. Ioannis Karatzas & Martin Shubik & William D. Sudderth, "Construction of Stationary Markov Equilibria in a Strategic Market Game," Mathematics of Operations Research, INFORMS, vol.

19(4), pagesNovember. In addition, the associated extremal pure strategy stationary Markov Nash equilibrium ϕ θ ⁎ (s) and ψ θ ⁎ (s) are increasing on S × Θ.

In the literature on infinite horizon stochastic games with strategic complementarities, we are not aware of any analog result to the above concerning monotone equilibrium comparative statics as in Cited by: Karatzas, I., Shubik, M.

and Sudderth, W.D., Construction of stationary Markov equilibria in a strategic market game, Mathematics of Operation Research 19(4) () – MathSciNet CrossRef Google ScholarCited by: 3. The existence of stationary p-equilibria for two-player games with finite actions and strong separability conditions on both stage payoffs and state transitions was proved in [19].

The existence of stationary Markov perfect equilibria in intergenerational stochastic games was considered in [22] and [38]. A Markov perfect equilibrium is an equilibrium concept in game theory.

It is the refinement of the concept of subgame perfect equilibrium to extensive form games for which a pay-off relevant state space can be readily identified. The term appeared in publications starting about in the work of economists Jean Tirole and Eric Maskin. It has since been used, among else, in the analysis of industrial organization, macroeconomics Proposed by: Eric Maskin, Jean Tirole.

tence of a Stationary Markov Nash equilibrium via constructive meth-ods. In addition, we provide monotone comparative statics results for ordered perturbations of the space of stochastic games. Under slightly stronger assumptions, we prove the stationary Markov Nash equilib-rium values form a complete lattice, with least and greatest equilibrium.

Karatzas I., Shubik M., Sudderth W. () Construction of Stationary Markov Equilibria in a Strategic Market Game, Mathematics of Operations Resea – zbMATH MathSciNet CrossRef Google ScholarCited by: As a consequence of Theorem 1 above, the rst solution we will present for the problem of existence of stationary Markov equilibria in discounted stochastic games will take the form of a new xed point theorem for the nonconvex, measurable-selection-valued Nash payoselection correspondence.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): We study stationary Markov equilibria for strategic, competitive games, in a market-economy model with one non-durable commodity, fiat money, borrowing/lending through a central bank or a money market, and a continuum of agents.

These use fiat money in order to offset random. The existence of stationary Markov perfect equilibria in noisy stochastic games thus follows from Theorem 1. The proof of the proposition below is left in the appendix. Proposition 2.

Every noisy stochastic game has a coarser transition kernel. Nonexistence of stationary Markov perfect by: We define Markov strategy and Markov perfect equilibrium (MPE) for games with observable actions. Informally, a Markov strategy depends only on payoff-relevant past events.

More precisely, it is measurable with respect to the coarsest partition of histories for which, if all other players use measurable strategies, eachFile Size: KB.

A strategic market game with active bankruptcy”. A strategic market game with secured lending”. An expository note on individual risk without aggregate uncertainty”. Construction of stationary Markov equilibria in a strategic market game”.

Convergence of dynamic programming models”. Correlated equilibria in strategic market games played, simultaneously, construction of the correlated equilibrium that we use here.

Azariadis () used the simple model of overlapping generations and a ria in a market game and stationary Markov equilibria with sunspots in. the asset market equilibrium model of Lucas () to the case of heteroge- neous agents. Given the influence of Lucas' paper on financial economics, macroeconomics, monetary theory, and econometrics, it is significant that the existence of stationary Markov equilibria for this model does not rest on the assumption of a single type of agent.

Abstract: 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 Cited by: 3.Mathematics of Operations Research; Operations Research; Organization Science; Analytics; Publications.

TutORials in OR Book Series; Topics in OR Book Series ; Editor's Cut; ICYMI; Pricing & Subscriptions ; Search Search. Advanced Search. Construction of Stationary Markov Equilibria in a Strategic Market Game. Ioannis Karatzas, Martin.Construction of Stationary Markov Equilibria in a Strategic Market Game.

Authors: Ioannis Karatzas, Martin Shubik, William Sudderth Three Simple Experimental Games. Authors: Martin Shubik. Date: PDFPeter Schuster, Peter Stadler.

Date: PDF Abstract. Behavior of Trading Automata in a Computerized Double Auction.