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Stability of Linear Stochastic Difference Equations in Strategically Controlled Random Environments

Please always quote using this URN:urn:nbn:de:0296-matheon-841
  • We consider the stochastic sequence fYtgt2N defined recursively by the linear relation Yt+1 = AtYt+Bt in a random environment. The environment is described by the stochastic process f(At;Bt)gt2N and is under the simultaneous control of several agents playing a discounted stochastic game. We formulate sufficient conditions on the game which ensure the existence of Nash equilibrium in Markov strategies which has the additional property that, in equilibrium, the process fYtgt2N converges in distribution to a stationary regime.

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Metadaten
Author:Ulrich Horst
URN:urn:nbn:de:0296-matheon-841
Referee:Hans Föllmer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2004/02/13
Release Date:2004/02/13
Institute:Humboldt-Universität zu Berlin
Technische Universität Berlin
Preprint Number:77
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