Dynamic Equilibrium with Randomly Arriving Players

• Published in: Dynamic games and applications Vol. 11; no. 2; pp. 242 - 269
• Main Authors: Bernhard, Pierre, Deschamps, Marc
• Format: Journal Article
• Language: English
• Published: New York Springer US 01-06-2021; Springer Nature B.V; Springer Verlag
• Subjects: Algorithms; Automatic Control Engineering; Communications Engineering; Computer Science; Computer Systems Organization and Communication Networks; Dynamic programming; Economic Theory/Quantitative Economics/Mathematical Methods; Economics; Game Theory; Games; Management Science; Markov processes; Mathematics; Mathematics and Statistics; Networks; Operations Research; Random processes; Social and Behav. Sciences; Nash equilibrium; Dynamic programming; Cournot oligopoly; Piecewise deterministic Markov decision process; Piecewise Deterministic Markov Decision Process
• ISSN: 2153-0785; 2153-0793
• DOI: 10.1007/s13235-020-00354-z

There are real strategic situations where nobody knows
ex ante
how many players there will be in the game at each step. Assuming that entry and exit could be modeled by random processes whose probability laws are common knowledge, we use dynamic programming and piecewise deterministic Markov decision processes to investigate such games. We study these games in discrete and continuous time for both finite and infinite horizon. While existence of dynamic equilibrium in discrete time is proved, our main aim is to develop algorithms. In the general nonlinear case, the equations provided are rather intricate. We develop more explicit algorithms for both discrete and continuous time linear quadratic problems.