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Matematicheskaya Teoriya Igr i Ee Prilozheniya, 2021, Volume 13, Issue 1, Pages 102–129
(Mi mgta277)
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Transitional dynamics in network game with heterogeneous agents: stochastic case
Alexey V. Korolev St. Petersburg filial of Higher Scool of Economics
Abstract:
In this paper, stochastic parameters are introduced into the network games model with production and knowledges externalities. This model was formulated by V. Matveenko and A. Korolev and generalized two-period Romer model. Agents' productivities have deterministic and Wiener components. The research represents the dynamics of a single agent and the dynamics in a triangle which occurs in the process of unifying agents. Explicit expressions of the dynamics of a single agent and dyad agents in the form of Brownian random processes were obtained. A qualitative analysis of the solutions of stochastic equations and systems was carried out.
Keywords:
network games, differential games, Nash equilibrium, Brounian motion, stochastic differential equations, Ito's Lemma, heterogeneous agents, productivity.
Received: 04.10.2020 Revised: 21.12.2020 Accepted: 09.03.2021
Citation:
Alexey V. Korolev, “Transitional dynamics in network game with heterogeneous agents: stochastic case”, Mat. Teor. Igr Pril., 13:1 (2021), 102–129
Linking options:
https://www.mathnet.ru/eng/mgta277 https://www.mathnet.ru/eng/mgta/v13/i1/p102
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Abstract page: | 77 | Full-text PDF : | 29 | References: | 13 |
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