Markov Perfect Equilibria in Stochastic Revision Games

32 Pages Posted: 24 Jun 2015 Last revised: 25 Jun 2015

See all articles by Stefano Lovo

Stefano Lovo

HEC Paris - Finance Department

Tristan Tomala

HEC Paris - Economics & Decision Sciences

Date Written: June 25, 2015

Abstract

We introduce the model of Stochastic Revision Games where a finite set of players control a state variable and receive payoffs as a function of the state at a terminal deadline. There is a Poisson clock which dictates when players are called to choose of revise their actions. This paper studies the existence of Markov perfect equilibria in those games. We give an existence proof assuming some form of correlation.

Suggested Citation

Lovo, Stefano and Tomala, Tristan, Markov Perfect Equilibria in Stochastic Revision Games (June 25, 2015). HEC Paris Research Paper No. ECO/SCD-2015-1093. Available at SSRN: https://ssrn.com/abstract=2622084 or http://dx.doi.org/10.2139/ssrn.2622084

Stefano Lovo

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

Tristan Tomala (Contact Author)

HEC Paris - Economics & Decision Sciences ( email )

1 rue de la Liberation
Paris, 78351
France

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