Information and the Existence of Stationary Markovian Equilibrium

Ioannis Karatzas, Martin Shubik and William D. Sudderth
Additional contact information
Ioannis Karatzas: Columbia University

No 1261, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We describe conditions for the existence of a stationary Markovian equilibrium when total production or total endowment is a random variable. Apart from regularity assumptions, there are two crucial conditions: (i) low information -- agents are ignorant of both total endowment and their own endowments when they make decisions in a given period, and (ii) proportional endowments -- the endowment of each agent is in proportion, possibly a random proportion, to the total endowment. When these conditions hold, there is a stationary equilibrium. When they do not hold, such equilibrium need not exist.

Keywords: Information; stochastic process; money; and disequilibrium (search for similar items in EconPapers)
JEL-codes: C72 C73 D80 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2000-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Annals of the International Society of Dynamic Games (2005), 7: 3-20

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d12/d1261.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
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:cwl:cwldpp:1261

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().