A strategic market game with active bankruptcy
type: Item
instance of: scholarly article
title: A strategic market game with active bankruptcy
zbMATH Open document ID: 0971.91013
DOI: 10.1016/S0304-4068(00)00038-0
published in: Journal of Mathematical Economics
publication date: 2001-10-26T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 91A80
Mathematics Subject Classification ID: 91A07
Mathematics Subject Classification ID: 91A10
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91B64
zbMATH DE Number: 1547602
zbMATH Keywords: strategic market game
zbMATH Keywords: Markov equilibrium
zbMATH Keywords: optimization problem
author: John D. Geanakoplos
author: Ioannis Karatzas
author: Martin Shubik
author: William D. Sudderth
reviewed by: Elena Ya. Gorelova
MaRDI profile type: Publication
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Wikidata QID: Q126634868
description: scientific article; zbMATH DE number 1547602