Markov perfect equilibria in OLG models with risk sensitive agents

2019 ◽  
pp. 1 ◽  
Author(s):  
Łukasz Balbus
Keyword(s):  
Olg Models ◽  
Risk Sensitive ◽  
Markov Perfect ◽  
Perfect Equilibria

scholarly journals Robust Markov perfect equilibria

2014 ◽  
Vol 419 (2) ◽  
pp. 1322-1332 ◽  
Author(s):  
Anna Jaśkiewicz ◽  
Andrzej S. Nowak
Keyword(s):  
Markov Perfect ◽  
Perfect Equilibria

scholarly journals Markov decision processes with quasi-hyperbolic discounting

2020 ◽  
Author(s):  
Anna Jaśkiewicz ◽  
Andrzej S. Nowak
Keyword(s):  
Markov Decision Processes ◽  
Dynamic Game ◽  
Hyperbolic Discounting ◽  
Decision Processes ◽  
State Spaces ◽  
Long Run ◽  
Markov Perfect ◽  
Markov Decision ◽  
Time Inconsistent ◽  
Perfect Equilibria

AbstractWe study Markov decision processes with Borel state spaces under quasi-hyperbolic discounting. This type of discounting nicely models human behaviour, which is time-inconsistent in the long run. The decision maker has preferences changing in time. Therefore, the standard approach based on the Bellman optimality principle fails. Within a dynamic game-theoretic framework, we prove the existence of randomised stationary Markov perfect equilibria for a large class of Markov decision processes with transitions having a density function. We also show that randomisation can be restricted to two actions in every state of the process. Moreover, we prove that under some conditions, this equilibrium can be replaced by a deterministic one. For models with countable state spaces, we establish the existence of deterministic Markov perfect equilibria. Many examples are given to illustrate our results, including a portfolio selection model with quasi-hyperbolic discounting.

scholarly journals Existence of Stationary Markov Perfect Equilibria in Stochastic Altruistic Growth Economies

2014 ◽  
Vol 165 (1) ◽  
pp. 295-315 ◽  
Author(s):  
Łukasz Balbus ◽  
Anna Jaśkiewicz ◽  
Andrzej S. Nowak
Keyword(s):  
Markov Perfect ◽  
Perfect Equilibria

scholarly journals Common Information Based Markov Perfect Equilibria for Linear-Gaussian Games with Asymmetric Information

2014 ◽  
Vol 52 (5) ◽  
pp. 3228-3260 ◽  
Author(s):  
Abhishek Gupta ◽  
Ashutosh Nayyar ◽  
Cédric Langbort ◽  
Tamer Başar
Keyword(s):  
Asymmetric Information ◽  
Common Information ◽  
Markov Perfect ◽  
Perfect Equilibria

scholarly journals The Survival of the Welfare State

2003 ◽  
Vol 93 (1) ◽  
pp. 87-112 ◽  
Author(s):  
John Hassler ◽  
José V Rodríguez Mora ◽  
Kjetil Storesletten ◽  
Fabrizio Zilibotti
Keyword(s):  
Welfare State ◽  
Multiple Equilibria ◽  
Redistributive Policies ◽  
Markov Perfect ◽  
Private Investments ◽  
The Future ◽  
Model Features ◽  
Perfect Equilibria ◽  
The Welfare State

This paper provides an analytical characterization of Markov perfect equilibria in a model with repeated voting, where agents vote over distortionary income redistribution. A key result is that the future constituency for redistributive policies depends positively on current redistribution, since this affects both private investments and the future distribution of voters. The model features multiple equilibria. In some equilibria, positive redistribution persists forever. In other equilibria, even a majority of beneficiaries of redistribution vote strategically so as to induce the end of the welfare state next period. Skill-biased technical change makes the survival of the welfare state less likely.

Sign in / Sign up

Export Citation Format

Share Document