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

    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
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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.


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