Almost sure Nash equilibrium strategies in evolutionary models of asset markets

W. Bahsoun (), I. Evstigneev () and L. Xu ()

Mathematical Methods of Operations Research, 2011, vol. 73, issue 2, 235-250

Abstract: We consider a stochastic model of a financial market with long-lived dividend-paying assets and endogenous asset prices. The model was initially developed and analyzed in the context of evolutionary finance, with the main focus on questions of “survival and extinction” of investment strategies. In this paper we view the model from a different, game-theoretic, perspective and examine Nash equilibrium strategies, satisfying equilibrium conditions with probability one. Copyright Springer-Verlag 2011

Keywords: Stochastic games; Evolutionary finance; Capital growth theory; Random dynamical systems; 91A15; 91G10; 91B51; 91G80 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00186-010-0344-z

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