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Mat. Teor. Igr Pril., 2021, Volume 13, Issue 1, Pages 102–129 (Mi mgta277)  

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.

Full text: PDF file (155 kB)
References: PDF file   HTML file
UDC: 519.83, 519.86
BBK: 22.18
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

Citation in format AMSBIB
\Bibitem{Kor21}
\by Alexey~V.~Korolev
\paper Transitional dynamics in network game with heterogeneous agents: stochastic case
\jour Mat. Teor. Igr Pril.
\yr 2021
\vol 13
\issue 1
\pages 102--129
\mathnet{http://mi.mathnet.ru/mgta277}


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