Stationary equilibria in discounted stochastic games with weakly interacting players

Ulrich Horst

No 2002,77, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: We give sufficient conditions for a non-zero sum discounted stochastic game with compact and convex action spaces and with norm-continuous transition probabilities, but with possibly unbounded state space to have a N ash equilibrium in homogeneous Markov strategies that depends in a Lipsehitz continuous manner on the current state. H the underlying state space is compact this yields the existence of a stationary equilibrium. For a special class of stochastic games which arise in microstructure models for financial markets we establish the existence of equilibria which guarantee that the state sequence converges in distribution to a unique stationary measure.

Keywords: Stochastic Games; Stationary Equilibria; Microstructure Models for Financial Markets (search for similar items in EconPapers)
JEL-codes: D81 E32 (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/65289/1/727073281.pdf (application/pdf)

Related works:
Journal Article: Stationary equilibria in discounted stochastic games with weakly interacting players (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200277

Access Statistics for this paper

More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().