Stationary Markovian equilibrium in altruistic stochastic OLG models with limited commitment
Kevin Reffett and
Journal of Mathematical Economics, 2012, vol. 48, issue 2, 115-132
We introduce a new class of infinite horizon altruistic stochastic OLG models with capital and labor, but without commitment between the generations. Under mild regularity conditions, for economies with either bounded or unbounded state spaces, continuous monotone Markov perfect Nash equilibrium (henceforth MPNE) are shown to exist, and form an antichain. Further, for each such MPNE, we can also construct a corresponding stationary Markovian equilibrium invariant distribution. We then show for many versions of our economies found in applied work in macroeconomics, unique MPNE exist relative to the space of bounded measurable functions. We also relate all of our results to those obtained by promised utility/continuation methods based upon the work of Abreu et al. (1990). As our results are constructive, we can provide characterizations of numerical methods for approximating MPNE, and we construct error bounds. Finally, we provide a series of examples to show the potential applications and limitations of our results.
Keywords: Stochastic games; Markov perfect Nash equilibrium; Constructive methods; Commitment (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:48:y:2012:i:2:p:115-132
Access Statistics for this article
Journal of Mathematical Economics is currently edited by Atsushi (A.) Kajii
More articles in Journal of Mathematical Economics from Elsevier
Bibliographic data for series maintained by Haili He ().