Core Discussion Paper 2001/60 Stochastic Games in Economics and Related Fields: an Overview

This survey provides an extensive account of research in economics based on the stochastic games paradigm. Its area-by-area coverage is in the form of an overview, and includes applications in resource economics, industrial organization, macroeconomics, market games, experimental and empirical economics. For methodologically defined frameworks, the coverage is somewhat more detailed (to the extent that the material is not covered elsewhere in this volume), and includes the open-loop concept, the linear-quadratic model, myopic equilibrium, games of perfect information, and stochastic games with a continuum of players. JEL Classification: C72, L13, O31. CORE, Université catholique de Louvain, Belgium. E-mail: [email protected] I would like to thank Jim Bergin, Jean-François Mertens, Abraham Neyman, Robert Rosenthal, Matt Sobel, and Sylvain Sorin for helpful suggestions concerning the material covered here. This paper was prepared for presentation at the NATO Advanced Summer Institute on stochastic games held at SUNY-Stony-Brook in July 1999. This paper presents research results of the Belgian Program on Interuniversity Poles of Attraction initiated by the Belgian State, Prime Minister’s Office, Science Policy Programming. The scientific responsibility is assumed by the author.