Arbeitspapier

Stability of linear stochastic difference equations in controlled random environments

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We consider the stochastic sequence {Yi}t E N defined recursively by the linear relation Yt+l = AtYt + Bt in a random environment. The environment is described by the stochastic process {(At, Bt ) }t E N and is under the simultaneous control of several agents playing a discounted stochastic game. We formulate sufficient conditions on the game which ensure the existence of Nash equilibrium in Markov strategies which has the additional property that, in equilibrium, the process {Yt} t E N converges in distribution to a unique stationary sequence.

Sprache
Englisch

Erschienen in
Series: SFB 373 Discussion Paper ; No. 2002,74

Klassifikation
Wirtschaft
Thema
Stochastic difference equation
stochastic stability
stochastic games
random systems with complete connections

Ereignis
Geistige Schöpfung
(wer)
Horst, Ulrich
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
(wo)
Berlin
(wann)
2002

Handle
URN
urn:nbn:de:kobv:11-10049409
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Horst, Ulrich
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Entstanden

  • 2002

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