Recursive Methods in Discounted Stochastic Games: An Algorithm for δ→ 1 and a Folk Theorem

Nicolas Vieille (), Johannes Hörner, Takuo Sugaya and Satoru Takahashi
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Takuo Sugaya: Department of economics - Princeton University

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Abstract: We present an algorithm to compute the set of perfect public equilibrium payoffs as the discount factor tends to 1 for stochastic games with observable states and public (but not necessarily perfect) monitoring when the limiting set of (long-run players') equilibrium payoffs is independent of the initial state. This is the case, for instance, if the Markov chain induced by any Markov strategy profile is irreducible. We then provide conditions under which a folk theorem obtains: if in each state the joint distribution over the public signal and next period's state satisfies some rank condition, every feasible payoff vector above the minmax payoff is sustained by a perfect public equilibrium with low discounting.

Keywords: Stochastic; games (search for similar items in EconPapers)
Date: 2011-07
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Citations: View citations in EconPapers (65)

Published in Econometrica, 2011, 79 (4), pp.1277-1318. ⟨10.3982/ECTA9004⟩

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Journal Article: Recursive Methods in Discounted Stochastic Games: An Algorithm for δ→ 1 and a Folk Theorem (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00609191

DOI: 10.3982/ECTA9004

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