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Markov perfect equilibria in a dynamic decision model with quasi-hyperbolic discounting.
- Source :
-
Annals of Operations Research . Apr2020, Vol. 287 Issue 2, p573-591. 19p. - Publication Year :
- 2020
-
Abstract
- We study a discrete-time non-stationary decision model in which the preferences of the decision maker change over time and are described by quasi-hyperbolic discounting. A time-consistent optimal solution in this model corresponds with a Markov perfect equilibrium in a stochastic game with uncountable state space played by countably many short-lived players. We show that Markov perfect equilibria may be constructed using a generalized policy iteration algorithm. This method is in part inspired by the fundamental works of Mertens and Parthasarathy (in: Raghavan, Ferguson, Parthasarathy, Vrieze (eds) Stochastic games and related topics, Kluwer Academic Publishers, Dordrecht, 1991; in: Neyman, Sorin (eds) Stochastic games and applications, Academic Publishers, Dordrecht, 2003) devoted to subgame perfect equilibria in standard n-person discounted stochastic games. If the one-period utilities and transition probabilities are independent of time, we obtain on new existence results on stationary Markov perfect equilibria in the models with unbounded from above utilities. [ABSTRACT FROM AUTHOR]
- Subjects :
- *DYNAMIC models
*MARKOV processes
*EQUILIBRIUM
Subjects
Details
- Language :
- English
- ISSN :
- 02545330
- Volume :
- 287
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Annals of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 142204524
- Full Text :
- https://doi.org/10.1007/s10479-018-2778-2