英文标题：
《Stochastic Switching Games》
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作者：
Liangchen Li, Michael Ludkovski
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最新提交年份：
2018
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英文摘要：
We study nonzero-sum stochastic switching games. Two players compete for market dominance through controlling (via timing options) the discrete-state market regime $M$. Switching decisions are driven by a continuous stochastic factor $X$ that modulates instantaneous revenue rates and switching costs. This generates a competitive feedback between the short-term fluctuations due to $X$ and the medium-term advantages based on $M$. We construct threshold-type Feedback Nash Equilibria which characterize stationary strategies describing long-run dynamic equilibrium market organization. Two sequential approximation schemes link the switching equilibrium to (i) constrained optimal switching, (ii) multi-stage timing games. We provide illustrations using an Ornstein-Uhlenbeck $X$ that leads to a recurrent equilibrium $M^\\ast$ and a Geometric Brownian Motion $X$ that makes $M^\\ast$ eventually \"absorbed\" as one player eventually gains permanent advantage. Explicit computations and comparative statics regarding the emergent macroscopic market equilibrium are also provided.
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中文摘要：
我们研究了非零和随机切换对策。两个参与者通过控制（通过时间选择权）离散的国有市场机制来争夺市场主导权，金额为百万美元。切换决策由调节瞬时收益率和切换成本的连续随机因素$X$驱动。这将在X美元的短期波动和基于M美元的中期优势之间产生竞争性反溃我们构造了描述长期动态均衡市场组织的静态策略的阈值型反馈纳什均衡。两种顺序近似方案将切换均衡与（i）约束最优切换，（ii）多级定时博弈联系起来。我们提供了使用Ornstein-Uhlenbeck$X$的插图，它导致循环平衡$M^\\ast$，几何布朗运动$X$使$M^\\ast$最终“吸收”，因为一个玩家最终获得永久优势。还提供了关于紧急宏观市场均衡的显式计算和比较静态。
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分类信息：

一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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