Artikel

Large deviations and stochastic stability in the small noise double limit

We consider a model of stochastic evolution under general noisy best response protocols, allowing the probabilities of suboptimal choices to depend on their payoff consequences. Our analysis focuses on behavior in the small noise double limit: we first take the noise level in agents' decisions to zero, and then take the population size to infinity. We show that in this double limit, escape from and transitions between equilibria can be described in terms of solutions to continuous optimal control problems. These are used in turn to characterize the asymptotics of the the stationary distribution, and so to determine the stochastically stable states. We use these results to perform a complete analysis of evolution in three-strategy coordination games that satisfy the marginal bandwagon property and that have an interior equilibrium, with agents following the logit choice rule.

Language: Englisch

Bibliographic citation: Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 11 ; Year: 2016 ; Issue: 1 ; Pages: 279-355 ; New Haven, CT: The Econometric Society

Classification: Wirtschaft
Noncooperative Games
Stochastic and Dynamic Games; Evolutionary Games; Repeated Games

Subject: Evolutionary game theory
equilibrium breakdown
stochastic stability
large deviations

Event: Geistige Schöpfung

(who): Sandholm, William H.
Staudigl, Mathias

Event: Veröffentlichung

(who): The Econometric Society

(where): New Haven, CT

(when): 2016

DOI: doi:10.3982/TE1905

Handle: http://hdl.handle.net/10419/150279

Last update: 10.03.2025, 11:42 AM CET

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Artikel

Associated

Sandholm, William H.
Staudigl, Mathias
The Econometric Society

Time of origin

2016

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Large deviations and stochastic stability in the small noise double limit

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Large deviations and stochastic stability in the small noise double limit

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Other Objects (12)

Large deviations and stochastic stability in the small noise double limit

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