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Pure equilibria in a simple dynamic model of strategic market game

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Abstract

We present a discrete model of two-person constant-sum dynamic strategic market game. We show that for every value of discount factor the game with discounted rewards possesses a pure stationary strategy equilibrium. Optimal strategies have some useful properties, such as Lipschitz property and symmetry. We also show value of the game to be nondecreasing both in state and discount factor. Further, for some values of discount factor, exact form of optimal strategies is found. For β less than \({2-\sqrt{2}}\), there is an equilibrium such that players make large bids. For β close to 1, there is an equilibrium with small bids. Similar result is obtained for the long run average reward game.

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Authors and Affiliations

  1. Institute of Mathematics and Computer Science, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370, Wrocław, Poland

    Piotr Więcek

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  1. Piotr Więcek
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Correspondence to Piotr Więcek.

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Więcek, P. Pure equilibria in a simple dynamic model of strategic market game. Math Meth Oper Res 69, 59–79 (2009). https://doi.org/10.1007/s00186-008-0210-4

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  • DOI: https://doi.org/10.1007/s00186-008-0210-4

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