 Discrete time stochastic multi-player competitive games with affine payoffsIvan Guo and Marek Rutkowski Stochastic Processes and their Applications, 2016, vol. 126, issue 1, 1-32 Abstract: A novel class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is examined. The affine games cover as a very special case the classic two-person stochastic stopping games introduced by Dynkin (1969). We first extend to the case of a single-period deterministic affine game the results from Guo and Rutkowski (2012, 2014) where the so-called redistribution games were studied. We identify conditions under which optimal equilibria and value for a multi-player affine game exist. We also examine stochastic multi-period affine games and we show that, under mild assumptions, they can be solved by the method of backward induction. Keywords: Multi-player game; Redistribution game; Affine game; Dynkin stopping game; Stochastic game; Nash equilibrium; Optimal equilibrium (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:1:p:1-32 Ordering information: This journal article can be ordered from DOI: 10.1016/j.spa.2015.07.013 Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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