Stationary Markov perfect equilibria in discounted stochastic games

Wei He and Yeneng Sun

Journal of Economic Theory, 2017, vol. 169, issue C, 35-61

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 with mixtures of constant transition kernels as special cases. A remarkably simple proof is provided via establishing a new connection between stochastic games and conditional expectations of correspondences. New applications of stochastic games are presented as illustrative examples, including stochastic games with endogenous shocks and a stochastic dynamic oligopoly model.

Keywords: Stochastic game; Stationary Markov perfect equilibrium; (Decomposable) coarser transition kernel; Endogenous shocks; Dynamic oligopoly (search for similar items in EconPapers)
JEL-codes: C72 C73 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:169:y:2017:i:c:p:35-61

DOI: 10.1016/j.jet.2017.01.007

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