英文标题：
《Stationary Markov Perfect Equilibria in Discounted Stochastic Games》
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作者：
Wei He and Yeneng Sun
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最新提交年份：
2017
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英文摘要：
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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中文摘要：
在一个称为“可分解的”粗糙转移核的一般条件下，证明了随机对策中平稳马尔可夫完美平衡点的存在性。这个结果涵盖了相关平衡点、噪声随机对策、具有有限作用和状态无关跃迁的随机对策，以及作为特例具有常数跃迁核混合的随机对策的各种早期存在性结果。通过在随机博弈和条件期望对应之间建立新的联系，给出了一个非常简单的证明。以随机博弈的新应用为例，包括具有内生冲击的随机博弈和随机动态寡头垄断模型。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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