摘要翻译:
研究了非零和随机切换对策。两个参与者通过控制(通过时机选择)离散状态市场制度来争夺市场支配地位。切换决策是由一个连续的随机因素$x$驱动的,该因素调节瞬时收益率和切换成本。这在由于$x$而产生的短期波动和基于$m$的中期优势之间产生了竞争反馈。我们构造了阈值型反馈纳什均衡,描述了描述长期动态均衡市场组织的平稳策略。两个顺序近似方案将切换均衡与(i)约束最优切换,(ii)多阶段定时对策联系起来。我们使用Ornstein-Uhlenbeck$x$和几何布朗运动$x$提供说明,前者导致一个循环均衡$M^\AST$,后者使$M^\AST$最终“被吸收”,因为一个玩家最终获得永久优势。本文还提供了关于新出现的宏观市场均衡的显式计算和比较静力学。
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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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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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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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PDF链接:
https://arxiv.org/pdf/1807.03893