小噪声双极限中的大偏差与随机稳定性

Large deviations and stochastic stability in the small noise double limit

Theoretical Economics · 2016
被引 37
人大 AABS 4

中文导读

研究一般噪声最佳响应协议下的随机演化模型,通过小噪声双极限(先噪声趋零再群体规模无穷)分析均衡间的逃逸与转移,并用连续最优控制问题刻画平稳分布渐近行为,确定随机稳定状态,最后完整分析了满足边际从众性质的三策略协调博弈。

Abstract

We consider a model of stochastic evolution under general noisy best response protocols, allowing the probabilities of suboptimal choices to depend on their payoff consequences. Our analysis focuses on behavior in the small noise double limit: we first take the noise level in agents' decisions to zero, and then take the population size to infinity. We show that in this double limit, escape from and transitions between equilibria can be described in terms of solutions to continuous optimal control problems. These are used in turn to characterize the asymptotics of the the stationary distribution, and so to determine the stochastically stable states. We use these results to perform a complete analysis of evolution in three-strategy coordination games that satisfy the marginal bandwagon property and that have an interior equilibrium, with agents following the logit choice rule.

大偏差随机稳定性小噪声双极限最优控制