Dynamic equilibrium in games with randomly arriving players

Pierre Bernhard and Marc Deschamps
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Pierre Bernhard: BIOCORE - Biological control of artificial ecosystems - LOV - Laboratoire d'océanographie de Villefranche - OOVM - Observatoire océanologique de Villefranche-sur-mer - UPMC - Université Pierre et Marie Curie - Paris 6 - INSU - CNRS - Institut national des sciences de l'Univers - CNRS - Centre National de la Recherche Scientifique - UPMC - Université Pierre et Marie Curie - Paris 6 - INSU - CNRS - Institut national des sciences de l'Univers - CNRS - Centre National de la Recherche Scientifique - CRISAM - Centre Inria d'Université Côte d'Azur - Inria - Institut National de Recherche en Informatique et en Automatique - INRA - Institut National de la Recherche Agronomique

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Abstract: There are real strategic situations where nobody knows ex ante how many players there will be in the game at each step. Assuming that entry and exit could be modelized by random processes whose probability laws are common knowledge, we use dynamic programming and piecewise deterministic Markov decision processes to investigate such games. We study the dynamic equilibrium in games with randomly arriving players in discrete and continuous time for both finite and infinite horizon. Existence of dynamic equilibrium in discrete time is proved and we develop explicit algorithms for both discrete and continuous time linear quadratic problems. In both cases we offer a resolution for a Cournot oligopoly with sticky prices.

Keywords: Nash equilibrium; Dynamic programming; Piecewise Deterministic Markov Decision Process; Cournot oligopoly; Sticky Prices. (search for similar items in EconPapers)
Date: 2016-10-01
New Economics Papers: this item is included in nep-gth and nep-mic
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Dynamic equilibrium in games with randomly arriving players (2016)
Working Paper: Dynamic equilibrium in games with randomly arriving players (2016)
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