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arXiv · 1311.1562

Stationary Markov Perfect Equilibria in Discounted Stochastic Games

Wei He·Yeneng Sun
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Abstract

The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called "(decomposable) coarser transition kernels". This result covers various earlier existence results on correlated equilibria, noisy stochastic games, stochastic games with finite actions and state-independent transitions, and stochastic games with mixtures of constant transition kernels as special cases. A remarkably simple proof is provided via establishing a new connection between stochastic games and conditional expectations of correspondences. New applications of stochastic games are presented as illustrative examples, including stochastic games with endogenous shocks and a stochastic dynamic oligopoly model.

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Wei He, Yeneng Sun. 2017-01-21. Stationary Markov Perfect Equilibria in Discounted Stochastic Games. https://arxiv.org/abs/1311.1562

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