Stationary equilibria in stochastic games: structure, selection, and computation

PJJ Herings*, RJAP Peeters

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

Abstract

This paper introduces an algorithm to compute stationary equilibria in stochastic games that is guaranteed to converge for almost all such games. Since in general the number of stationary equilibria is overwhelming, we pay attention to the issue of equilibrium selection. We do this by extending the linear tracing procedure to the class of stochastic games, called the stochastic tracing procedure. As a by-product of our results, we extend a recent result on the generic finiteness of stationary equilibria in stochastic games to oddness of equilibria. (C) 2003 Elsevier Inc. All rights reserved.

Original languageEnglish
Pages (from-to)32-60
Number of pages29
JournalJournal of Economic Theory
Volume118
Issue number1
DOIs
Publication statusPublished - Sept 2004

Keywords

  • game theory
  • stochastic games
  • computation of equilibria
  • linear tracing procedure
  • MARKOV PERFECT EQUILIBRIUM
  • FIXED-POINTS
  • ALGORITHM
  • HOMOTOPY

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