A strategic market game with active bankruptcy
The authors study a mathematical model of a macroeconomic system including one nondurable commodity, countably many time periods and a continuum of agents. It is a stochastic model, for individual agents' endowments fluctuate in a random fashion from period to period. A special type of equilibrium, called ``stationary Markov equilibrium'', is investigated. A single agent is faced with an optimization problem. The latter is considered as a discounted dynamic programming problem, solved by using Bellman's method. The way of constructing a stationary Markov equilibrium is provided. Some examples are considered where the one-person game and the stationary Markov equilibrium are calculated explicitly.
scientific article; zbMATH DE number 1547602