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Limit Equilibrium Payoffs in Stochastic Games

hal.structure.identifierGroupe de recherche en économie mathématique et quantitative [GREMAQ]
dc.contributor.authorRenault, Jérôme
HAL ID: 21086
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorZiliotto, Bruno
dc.date.accessioned2020-11-02T09:42:08Z
dc.date.available2020-11-02T09:42:08Z
dc.date.issued2020
dc.identifier.issn0364-765X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21172
dc.language.isoenen
dc.subjectequilibrium payoffsen
dc.subjectstochastic gamesen
dc.subject.ddc515en
dc.titleLimit Equilibrium Payoffs in Stochastic Gamesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show that the set of stationary equilibrium payoffs always converges, and provide a simple example where the set of equilibrium payoffs has no limit. We then introduce the more general model of hidden stochastic game, where the players publicly receive imperfect signals over current states. In this setup we present an example where not only the limit set of equilibrium payoffs does not exist, but there is no converging selection of equilibrium payoffs. This second example is robust in many aspects, in particular to perturbations of the payoffs and to the introduction of correlation or communication devices.en
dc.relation.isversionofjnlnameMathematics of Operations Research
dc.relation.isversionofjnlvol45en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2020-08
dc.relation.isversionofjnlpages797-1192en
dc.relation.isversionofdoi10.1287/moor.2019.1015en
dc.relation.isversionofjnlpublisherINFORMSen
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2020-11-02T09:37:11Z
hal.author.functionaut
hal.author.functionaut


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