Risk-sensitive Markov-perfect equilibrium
研究了离散时间动态博弈中风险规避玩家的马尔可夫完美均衡的存在性和结构，给出了均衡近视性的充分条件，并应用于动态寡头垄断模型。
Abstract We investigate the existence and structure of Markov-perfect equilibria of discrete-time dynamic games in which players are risk averse and have time preferences consistent with discounting. We establish the existence of a Markov-perfect equilibrium when each player strives to maximize the expected exponential utility of the present value of the time stream of rewards. Also, we give sufficient conditions for a Markov-perfect equilibrium to be myopic, namely to be a sequence of Nash equilibria of static games. The myopia results are applied to a dynamic oligopoly model in which firms choose prices and production quantities, encounter stochastic demand and hold inventories.