Arbeitspapier

Stability of linear stochastic difference equations in controlled random environments

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.

Language: Englisch

Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 2002,74

Classification: Wirtschaft

Subject: Stochastic difference equation
stochastic stability
stochastic games
random systems with complete connections

Event: Geistige Schöpfung

(who): Horst, Ulrich

Event: Veröffentlichung

(who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

(where): Berlin

(when): 2002

Handle: http://hdl.handle.net/10419/65352

URN: urn:nbn:de:kobv:11-10049409

Last update: 10.03.2025, 11:45 AM CET

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Arbeitspapier

Associated

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

Time of origin

2002

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Stability of linear stochastic difference equations in controlled random environments

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