Existence of Nash equilibria in stochastic games of resource extraction with risk-sensitive players

Hubert Asienkiewicz () and Łukasz Balbus
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Hubert Asienkiewicz: University of Zielona Góra

TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, 2019, vol. 27, issue 3, No 10, 502-518

Abstract: Abstract We consider a two-person stochastic game of resource extraction. It is assumed that players have identical preferences. A novelty relies on the fact that each player is equipped with the same risk coefficient and calculates his discounted utility in the infinite time horizon in a recursive way by applying the entropic risk measure parametrized by this risk coefficient. Under two alternative sets of assumptions, we prove the existence of a symmetric stationary Markov perfect equilibrium.

Keywords: Stochastic game; Resource extraction game; Risk-sensitive player; Non-expected utility; 91A15; 91A25; 91A50; 91B62; 91B16 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11750-019-00516-2

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