2013/11/07 by He, Wei, Sun, Yeneng
#FOS: Economics and business #FOS: Mathematics #General Finance (q-fin.GN) #Optimization and Control (math.OC)
paper · doi:10.48550/arxiv.1311.1562
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.