Dai, Darong (2012): Learning Nash Equilibria.
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In the paper, we re-investigate the long run behavior of an adaptive learning process driven by the stochastic replicator dynamics developed by Fudenberg and Harris (1992). It is demonstrated that the Nash equilibrium will be the robust limit of the adaptive learning process as long as it is reachable for the learning dynamics in almost surely finite time. Doob’s martingale theory and Girsanov Theorem play very important roles in confirming the required assertion.
|Item Type:||MPRA Paper|
|Original Title:||Learning Nash Equilibria|
|English Title:||Learning Nash Equilibria|
|Keywords:||Stochastic replicator dynamics; Adaptive learning; Nash equilibria; Global convergence; Robustness|
|Subjects:||C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C72 - Noncooperative Games
C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
|Depositing User:||darong dai|
|Date Deposited:||13. Jul 2012 14:16|
|Last Modified:||12. Feb 2013 19:03|
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