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Robust Markov Perfect Equilibria in a Dynamic Choice Model with Quasi-hyperbolic Discounting

In: Dynamic Games in Economics

Author

Listed:
  • Łukasz Balbus

    (University of Zielona Góra)

  • Anna Jaśkiewicz

    (Wroclaw University of Technology)

  • Andrzej S. Nowak

    (University of Zielona Góra)

Abstract

A stochastic dynamic choice model with the transition probability depending on an unknown parameter is specified and analysed in this chapter. The main feature in our model is an application of the quasi-hyperbolic discounting concept to describe the situation in which agent’s preferences may hinge on time. This requirement, in turn, leads to a non-cooperative infinite horizon stochastic game played by a countably many selves representing him during the play. As a result, we provide two existence theorems for a robust Markov perfect equilibrium (RMPE) and discuss its properties.

Suggested Citation

  • Łukasz Balbus & Anna Jaśkiewicz & Andrzej S. Nowak, 2014. "Robust Markov Perfect Equilibria in a Dynamic Choice Model with Quasi-hyperbolic Discounting," Dynamic Modeling and Econometrics in Economics and Finance, in: Josef Haunschmied & Vladimir M. Veliov & Stefan Wrzaczek (ed.), Dynamic Games in Economics, edition 127, pages 1-22, Springer.
    • Handle: RePEc:spr:dymchp:978-3-642-54248-0_1
    DOI: 10.1007/978-3-642-54248-0_1
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    Cited by:

    1. Anna Jaśkiewicz & Andrzej S. Nowak, 2021. "Markov decision processes with quasi-hyperbolic discounting," Finance and Stochastics, Springer, vol. 25(2), pages 189-229, April.

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