Stationary Markov Perfect Equilibria in Discounted Stochastic Games

Wei He and Yeneng Sun

Papers from arXiv.org

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.

Date: 2013-11, Revised 2017-01
New Economics Papers: this item is included in nep-gth and nep-hpe
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