Stochastic game

About: Stochastic game is a research topic. Over the lifetime, 9493 publications have been published within this topic receiving 202664 citations.

On the impossibility of predicting the behavior of rational agents

Abstract: A foundational assumption in economics is that people are rational: they choose optimal plans of action given their predictions about future states of the world. In games of strategy this means that each player's strategy should be optimal given his or her prediction of the opponents' strategies. We demonstrate that there is an inherent tension between rationality and prediction when players are uncertain about their opponents' payoff functions. Specifically, there are games in which it is impossible for perfectly rational players to learn to predict the future behavior of their opponents (even approximately) no matter what learning rule they use. The reason is that in trying to predict the next-period behavior of an opponent, a rational player must take an action this period that the opponent can observe. This observation may cause the opponent to alter his next-period behavior, thus invalidating the first player's prediction. The resulting feedback loop has the property that, a positive fraction of the time, the predicted probability of some action next period differs substantially from the actual probability with which the action is going to occur. We conclude that there are strategic situations in which it is impossible in principle for perfectly rational agents to learn to predict the future behavior of other perfectly rational agents based solely on their observed actions.

Recursive Methods in Discounted Stochastic Games: An Algorithm for δ → 1 and a Folk Theorem

Abstract: We present an algorithm to compute the set of perfect public equilibrium payoffs as the discount factor tends to one for stochastic games with observable states and public (but not necessarily perfect) monitoring when the limiting set of (long-run players’) equilibrium payoffs is independent of the initial state. This is the case, for instance, if the Markov chain induced by any Markov strategy profile is irreducible. We then provide conditions under which a folk theorem obtains: if in each state the joint distribution over the public signal and next period’s state satisfies some rank condition, every feasible payoff vector above the minmax payoff is sustained by a perfect public equilibrium with low discounting.

Dynamic Equilibrium with Liquidity Constraints

Abstract: This article studies an intertemporal economy with liquidity constrained and unconstrained individuals. We use a stopping time approach to solve the finite horizonconstrained consumption portfolio problem with constant relative risk aversion and to examine the structure of equilibrium. The impact of the constraint on the optimal consumption and the financing portfolio is assessed. The equilibrium state price density is related to the exercise boundary of an American-style contingent claim with nonlinear payoff. This stopping time characterization enables us to prove the existence of an equilibrium and can be implemented numerically. Properties of equilibrium bond and stock returns are examined. Copyright 2003, Oxford University Press.

Social dilemmas and cooperation

Abstract: Social orientation analysis of the common and individual interest problems.- Toward more locomotion in experimental games.- Individual reasoning process in the participation game with period.- The position effect: The role of a player's serial position in a resource dilemma game.- Positive and negative mood effects on solving a resource dilemma.- Fairness judgements in an asymmetric public goods dilemma.- Group size effects in social dilemmas: A review of the experimental literature and some new results for one-shot N-PD games.- Provision of step-level public goods: Effects of different information structures.- Conditional contributions and public good provision.- Convergence in the orange grove: Learning processes in a social dilemma setting.- Leadership and group identity as determinants of resource consumption in a social dilemma.- Prisoner's dilemma networks: Selection strategy versus action strategy.- Choice of strategies in social dilemma supergames.- Social dilemmas exist in space.- Commuting by car or by public transportation? An interdependence theoretical approach.- Evolution of norms without metanorms.- Computer simulations of the relation between individual heuristics and global cooperation in prisoner's dilemmas.- What risk should a selfish partner take in order to save the life of a nonrelative, selfish friend? - A stochastic game approach to the prisoner's dilemma.- Learning models for the prisoner's dilemma game: A review.- Social capital and cooperation: Communication, bounded rationality, and behavioral heuristics.- Cooperation in an asymmetric volunteer's dilemma game: Theory and experimental evidence.- Ten rules of bargaining sequences: A boundedly rational model of coalition bargaining in characteristic function games.- Aspiration processing in multilateral bargaining: Experiment, theory and simulation.- Resistance against mass immigration - An evolutionary explanation.- Authors index.

The aspiration approach to predicting coalition formation and payoff distribution in sidepayment games

Abstract: This paper presents the aspiration approach to coalition formation and payoff distribution in games with sidepayments. The approach is based on the idea that players set prices for their participation within coalitions. The solution space which is appropriate for price-setting players is different from that of the usual solution concepts and is called the space of aspirations. Solution concepts defined on the space of aspirations correspond to notions of how players bargain over their prices. Once the players choose a vector of prices, the coalitions which can afford to pay these prices are the coalitions which are predicted to form in the game.