Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory
Sandholm WH, Staudigl M (2014) Center for Mathematical Economics Working Papers; 505.
Bielefeld: Center for Mathematical Economics.
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| Veröffentlicht | Englisch
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Autor*in
Sandholm, William H.;
Staudigl, MathiasUniBi
Abstract / Bemerkung
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. The control problems
are tractable in certain interesting cases, allowing analytical descriptions of the escape
dynamics and long run behavior of the stochastic evolutionary process.
Erscheinungsjahr
2014
Serientitel
Center for Mathematical Economics Working Papers
Band
505
Seite(n)
43
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2901488
Zitieren
Sandholm WH, Staudigl M. Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory. Center for Mathematical Economics Working Papers. Vol 505. Bielefeld: Center for Mathematical Economics; 2014.
Sandholm, W. H., & Staudigl, M. (2014). Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory (Center for Mathematical Economics Working Papers, 505). Bielefeld: Center for Mathematical Economics.
Sandholm, William H., and Staudigl, Mathias. 2014. Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory. Vol. 505. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
Sandholm, W. H., and Staudigl, M. (2014). Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory. Center for Mathematical Economics Working Papers, 505, Bielefeld: Center for Mathematical Economics.
Sandholm, W.H., & Staudigl, M., 2014. Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory, Center for Mathematical Economics Working Papers, no.505, Bielefeld: Center for Mathematical Economics.
W.H. Sandholm and M. Staudigl, Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory, Center for Mathematical Economics Working Papers, vol. 505, Bielefeld: Center for Mathematical Economics, 2014.
Sandholm, W.H., Staudigl, M.: Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory. Center for Mathematical Economics Working Papers, 505. Center for Mathematical Economics, Bielefeld (2014).
Sandholm, William H., and Staudigl, Mathias. Large Deviations and Stochastic Stability in the Small Noise Double Limit, I: Theory. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 505.
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2019-09-25T06:44:48Z
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Beschreibung
Working Paper als Zeitschriftenartikel veröffentlicht in "Theoretical Economics", 2016