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Ergodic Equilibria in Stochastic Sequential Games.

Abstract:

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...

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Publisher:
Oxford-Man Institute of Quantitative Finance
Series:
Working Papers
Publication date:
2009-01-01
Language:
English
UUID:
uuid:ceeed968-e110-4f9b-8012-d4b20aeac004
Local pid:
oai:economics.ouls.ox.ac.uk:13031
Deposit date:
2011-08-16

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