Markov Quantal Response Equilibrium and a Homotopy Method for Computing and Selecting Markov Perfect Equilibria of Dynamic Stochastic Games

Konferenzbeitrag

We formally define Markov quantal response equilibrium (QRE) and prove existence for all finite discounted dynamic stochastic games. The special case of logit Markov QRE constitutes a mapping from precision parameter ... to sets of logit Markov QRE. The limiting points of this correspondence are shown to be Markov perfect equilibria. Furthermore, the logit Markov QRE correspondence can be given a homotopy interpretation. We prove that for all games, this homotopy contains a branch connecting the unique solution at ...to a unique limiting Markov perfect equilibrium. This result can be leveraged both for the computation of Markov perfect equilibria, and also as a selection criterion.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2019: 30 Jahre Mauerfall - Demokratie und Marktwirtschaft - Session: Economic Theory I ; No. F07-V1

Classification and Topics

• Classification: Wirtschaft ; Computational Techniques; Simulation Modeling ; Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
• Subject: Homotopy continuation ; Stationary equilibrium ; Logit choice

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Eibelshäuser, Steffen ; Poensgen, David
• Event: Veröffentlichung
• (who): ZBW - Leibniz-Informationszentrum Wirtschaft
• (where): Kiel, Hamburg
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/203603
• Last update: 10.03.2025, 11:41 AM CET