Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models

DOI10.1016/j.jet.2014.01.005zbMath1296.91021OpenAlexW2123028784MaRDI QIDQ402090

Andrzej S. Nowak, Anna Jaśkiewicz

Publication date: 27 August 2014

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2014.01.005

zbMATH Keywords

overlapping generations modelintergenerational stochastic gamerisk sensitive optimisationstationary Markov perfect equilibrium

Mathematics Subject Classification ID

Decision theory (91B06) Economic growth models (91B62) Stochastic games, stochastic differential games (91A15)

Related Items (19)

Non-paternalistic intergenerational altruism revisited ⋮ A strategic dynamic programming method for studying short-memory equilibria of stochastic games with uncountable number of states ⋮ Stationary Markov perfect equilibria in discounted stochastic games ⋮ Markov perfect equilibria in a dynamic decision model with quasi-hyperbolic discounting ⋮ Contractive approximations in average Markov decision chains driven by a risk-seeking controller ⋮ Markov perfect equilibria in OLG models with risk sensitive agents ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Perfect information games where each player acts only once ⋮ Robust Markov perfect equilibria ⋮ Extremal choice equilibrium with applications to large games, stochastic games, \& endogenous institutions ⋮ Markov decision processes with quasi-hyperbolic discounting ⋮ A discounted approach in communicating average Markov decision chains under risk-aversion ⋮ Zero-sum risk-sensitive stochastic games ⋮ On a generalization of the Dvoretzky-Wald-Wolfowitz theorem with an application to a robust optimization problem ⋮ Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs ⋮ Existence of Nash equilibria in stochastic games of resource extraction with risk-sensitive players ⋮ Stochastic bequest games ⋮ Zero-sum risk-sensitive stochastic games with unbounded payoff functions and varying discount factors ⋮ Existence of stationary Markov perfect equilibria in stochastic altruistic growth economies

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stationary Markovian equilibrium in altruistic stochastic OLG models with limited commitment
• Small noise methods for risk-sensitive/robust economies
• A multigenerational game model to analyze sustainable development
• On a noncooperative stochastic game played by internally cooperating generations
• Elimination of randomization in statistical decision theory reconsidered
• Existence of stationary equilibrium strategies in non-zero sum discounted stochastic games with uncountable state space and state-independent transitions
• An extension of the usual model in statistical decision theory with applications to stochastic optimization problems
• Stochastic optimal control. The discrete time case
• Nash equilibria of risk-sensitive nonlinear stochastic differential games
• Markovian equilibrium in a class of stochastic games: Existence theorems for discounted and undiscounted models
• Dynamic allocation in a altruistic overlapping generations economy
• Markov equilibria of stochastic games with complementarities
• Risk-sensitive dynamic market share attraction games
• On a new class of nonzero-sum discounted stochastic games having stationary Nash equilibrium points
• Adaptive Markov control processes
• A class of risk-sensitive noncooperative games
• Strategic intergenerational bequests with stochastic convex production
• Continuous stochastic games of capital accumulation with convex transitions
• Nonatomic total rewards Markov decision processes with multiple criteria
• Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions
• A constructive geometrical approach to the uniqueness of Markov stationary equilibrium in stochastic games of intergenerational altruism
• Existence of perfect equilibria in a class of multigenerational stochastic games of capital accumulation
• Average optimality for risk-sensitive control with general state space
• On stochastic games in economics
• Stationary equilibria in discounted stochastic games with weakly interacting players
• On perfect equilibria in stochastic models of growth with intergenerational altruism
• Measurable selections of extrema
• Stationary monetary equilibria in overlapping generations models with incomplete markets
• Discounted Stochastic Games
• Noisy Stochastic Games
• Discounted Stochastic Games With No Stationary Nash Equilibrium: Two Examples
• Dynamic equilibria in multigeneration stochastic games
• On the Dvoretzky–Wald–Wolfowitz Theorem on Nonrandomized Statistical Decisions
• The Existence of Perfect Equilibria in a Model of Growth with Altruism between Generations
• Invariant Distributions and the Limiting Behavior of Markovian Economic Models
• Existence of Stationary Correlated Equilibria with Symmetric Information for Discounted Stochastic Games
• Minimizing a Submodular Function on a Lattice
• Stationary Markov Equilibria
• Dynamic Choices of Hyperbolic Consumers
• Stochastic stability in monotone economies
• Discounted linear exponential quadratic Gaussian control
• The Existence of Subgame-Perfect Equilibrium in Continuous Games with Almost Perfect Information: A Case for Public Randomization
• Ergodicity for Infinite Dimensional Systems
• Axiomatization and Measurement of Quasi-Hyperbolic Discounting *
• Risk Aversion in the Small and in the Large
• Subgame-Perfect Equilibria for Stochastic Games
• Consumption-Savings Decisions with Quasi-Geometric Discounting
• Risk-Sensitive Markov Decision Processes
• Elimination of Randomization in Certain Statistical Decision Procedures and Zero-Sum Two-Person Games
• A Further Generalization of the Kakutani Fixed Point Theorem, with Application to Nash Equilibrium Points
• Stochastic finance. An introduction in discrete time
• Markov perfect equilibrium. I: Observable actions

This page was built for publication: Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models