Ergodic Equilibria in Stochastic Sequential Games.
This paper characterizes, and provides existence conditions for, geometrically ergodic and stationary Markov equilibria in a type of stochastic sequential game where players have two available actions, increasing or (weakly) decreasing the integer state. For example, offering goods for sale at a mar...
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| Format: | Working paper |
| Language: | English |
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Oxford-Man Institute of Quantitative Finance
2009
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| _version_ | 1826297522198413312 |
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| author | Large, J Norman, T |
| author_facet | Large, J Norman, T |
| author_sort | Large, J |
| collection | OXFORD |
| description | This paper characterizes, and provides existence conditions for, geometrically ergodic and stationary Markov equilibria in a type of stochastic sequential game where players have two available actions, increasing or (weakly) decreasing the integer state. For example, offering goods for sale at a market increases market-wide stock; buying decreases that stock. Similarly, joining a queue lengthens it, unlike balking. Stationarity allows us to derive the invariant strategy of players ignorant of the state, without the need for dynamic programming. Applications of this result include a microfoundation for market-clearing price adjustment. |
| first_indexed | 2024-03-07T04:32:55Z |
| format | Working paper |
| id | oxford-uuid:ceeed968-e110-4f9b-8012-d4b20aeac004 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T04:32:55Z |
| publishDate | 2009 |
| publisher | Oxford-Man Institute of Quantitative Finance |
| record_format | dspace |
| spelling | oxford-uuid:ceeed968-e110-4f9b-8012-d4b20aeac0042022-03-27T07:38:58ZErgodic Equilibria in Stochastic Sequential Games.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:ceeed968-e110-4f9b-8012-d4b20aeac004EnglishDepartment of Economics - ePrintsOxford-Man Institute of Quantitative Finance2009Large, JNorman, TThis paper characterizes, and provides existence conditions for, geometrically ergodic and stationary Markov equilibria in a type of stochastic sequential game where players have two available actions, increasing or (weakly) decreasing the integer state. For example, offering goods for sale at a market increases market-wide stock; buying decreases that stock. Similarly, joining a queue lengthens it, unlike balking. Stationarity allows us to derive the invariant strategy of players ignorant of the state, without the need for dynamic programming. Applications of this result include a microfoundation for market-clearing price adjustment. |
| spellingShingle | Large, J Norman, T Ergodic Equilibria in Stochastic Sequential Games. |
| title | Ergodic Equilibria in Stochastic Sequential Games. |
| title_full | Ergodic Equilibria in Stochastic Sequential Games. |
| title_fullStr | Ergodic Equilibria in Stochastic Sequential Games. |
| title_full_unstemmed | Ergodic Equilibria in Stochastic Sequential Games. |
| title_short | Ergodic Equilibria in Stochastic Sequential Games. |
| title_sort | ergodic equilibria in stochastic sequential games |
| work_keys_str_mv | AT largej ergodicequilibriainstochasticsequentialgames AT normant ergodicequilibriainstochasticsequentialgames |