We study the pure‐strategy subgame‐perfect Nash equilibria of stochastic games with perfect monitoring, geometric discounting, and public randomization. We develop novel algorithms for computing equilibrium payoffs, in which we combine policy iteration when incentive constraints are slack with value iteration when incentive constraints bind. We also provide software implementations of our algorithms. Preliminary simulations indicate that they are significantly more efficient than existing methods. The theoretical results that underlie the algorithms also imply bounds on the computational complexity of equilibrium payoffs when there are two players. When there are more than two players, we show by example that the number of extreme equilibrium payoffs may be countably infinite.
MLA
Abreu, Dilip, et al. “Algorithms for Stochastic Games with Perfect Monitoring.” Econometrica, vol. 88, .no 4, Econometric Society, 2020, pp. 1661-1695, https://doi.org/10.3982/ECTA14357
Chicago
Abreu, Dilip, Benjamin Brooks, and Yuliy Sannikov. “Algorithms for Stochastic Games with Perfect Monitoring.” Econometrica, 88, .no 4, (Econometric Society: 2020), 1661-1695. https://doi.org/10.3982/ECTA14357
APA
Abreu, D., Brooks, B., & Sannikov, Y. (2020). Algorithms for Stochastic Games with Perfect Monitoring. Econometrica, 88(4), 1661-1695. https://doi.org/10.3982/ECTA14357
We are deeply saddened by the passing of Kate Ho, the John L. Weinberg Professor of Economics and Business Policy at Princeton University and a Fellow of the Econometric Society. Kate was a brilliant IO economist and scholar whose impact on the profession will resonate for many years to come.
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