Strategic Dynamic Programming Methods for Studying Short Memory Equilibria in a Class of Stochastic Games with Uncountable Number of States∗
نویسندگان
چکیده
We study a class of infinite horizon stochastic games with uncountable number of states. We first characterize the set of all (nonstationary) short-term (Markovian) equilibrium values by developing a new Abreu, Pearce, and Stacchetti (1990) type procedure operating in function spaces. This (among others) proofs Markov Perfect Nash Equilibrium (MPNE) existence. Moreover, we present techniques of MPNE value set approximation by a sequence of sets of discretized functions iterated on our approximated APS-type operator. This method is new and has some advantages as compared to Judd, Yeltekin, and Conklin (2003), Sleet and Yeltekin (2003) or Feng, Miao, Peralta-Alva, and Santos (2009). We show applications of our approach to altruistic growth economies and dynamic games with strategic complementarities. keywords: stochastic games, bequest games, supermodular games, short memory (Markov) equilibria, constructive methods, computation, approximation JEL codes: C72
منابع مشابه
Solving a Stochastic Cellular Manufacturing Model by Using Genetic Algorithms
This paper presents a mathematical model for designing cellular manufacturing systems (CMSs) solved by genetic algorithms. This model assumes a dynamic production, a stochastic demand, routing flexibility, and machine flexibility. CMS is an application of group technology (GT) for clustering parts and machines by means of their operational and / or apparent form similarity in different aspects ...
متن کاملDynamic system of strategic games
Maybe an event can't be modeled completely through one game but there is more chance with several games. With emphasis on players' rationality, we present new properties of strategic games, which result in production of other games. Here, a new attitude to modeling will be presented in game theory as dynamic system of strategic games and its some applications such as analysis of the clash betwe...
متن کاملMarkov Stationary Equilibria in Stochastic Supermodular Games with Imperfect Private and Public Information
We study a class of discounted, infinite horizon stochastic games with public and private signals and strategic complementarities. Using monotone operators defined on the function space of values and strategies (equipped with a product order), we prove existence of a stationary Markov–Nash equilibrium via constructive methods. In addition, we provide monotone comparative statics results for ord...
متن کاملStochastic Dynamic Programming with Markov Chains for Optimal Sustainable Control of the Forest Sector with Continuous Cover Forestry
We present a stochastic dynamic programming approach with Markov chains for optimal control of the forest sector. The forest is managed via continuous cover forestry and the complete system is sustainable. Forest industry production, logistic solutions and harvest levels are optimized based on the sequentially revealed states of the markets. Adaptive full system optimization is necessary for co...
متن کاملSolving a Two-Period Cooperative Advertising Problem Using Dynamic Programming
Cooperative advertising is a cost-sharing mechanism in which a part of retailers' advertising investments are financed by the manufacturers. In recent years, investment among advertising options has become a difficult marketing issue. In this paper, the cooperative advertising problem with advertising options is investigated in a two-period horizon in which the market share in the second period...
متن کامل