Dynamic equilibrium in games with randomly arriving players

Pierre Bernhard and Marc Deschamps
Additional contact information
Pierre Bernhard: Université Côte d'Azur, INRIA

No 2016-10, Working Papers from CRESE

Abstract: There are real strategic situations where nobody knows ex ante how many players there will be in the game at each step. Assuming that entry and exit could be modelized by random processes whose probability laws are common knowledge, we use dynamic programming and piecewise deterministic Markov decision processes to investigate such games. We study the dynamic equilibrium in games with randomly arriving players in discrete and continuous time for both finite and infinite horizon. Existence of dynamic equilibrium in discrete time is proved and we develop explicit algorithms for both discrete and continuous time linear quadratic problems. In both cases we offer a resolution for a Cournot oligopoly with sticky prices.

Keywords: Nash equilibrium; Dynamic programming; Piecewise Deterministic Markov Decision Process; Cournot oligopoly; Sticky Prices. (search for similar items in EconPapers)
JEL-codes: C61 C72 L13 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2016-10
New Economics Papers: this item is included in nep-gth and nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://crese.univ-fcomte.fr/uploads/wp/WP-2016-10.pdf First version, 2016 (application/pdf)

Related works:
Working Paper: Dynamic equilibrium in games with randomly arriving players (2016)
Working Paper: Dynamic equilibrium in games with randomly arriving players (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crb:wpaper:2016-10

Access Statistics for this paper

More papers in Working Papers from CRESE Contact information at EDIRC.
Bibliographic data for series maintained by Lauent Kondratuk ().