Existence of Nash equilibria in stochastic games of resource extraction with risk-sensitive players

• Hubert Asienkiewicz ^[1] ; Łukasz Balbus ^[1]
  1. [1] University of Zielona Góra

     University of Zielona Góra

     Zielona Góra, Polonia

     
• Localización: Top, ISSN-e 1863-8279, ISSN 1134-5764, Vol. 27, Nº. 3, 2019, págs. 502-518
• Idioma: inglés
• DOI: 10.1007/s11750-019-00516-2
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• Resumen

  • We consider a two-person stochastic game of resource extraction. It is assumed that players have identical preferences. A novelty relies on the fact that each player is equipped with the same risk coefficient and calculates his discounted utility in the infinite time horizon in a recursive way by applying the entropic risk measure parametrized by this risk coefficient. Under two alternative sets of assumptions, we prove the existence of a symmetric stationary Markov perfect equilibrium.