Time averages, recurrence and transience in the stochastic replicator dynamics
Probability
2009-09-01 v1
Abstract
We investigate the long-run behavior of a stochastic replicator process, which describes game dynamics for a symmetric two-player game under aggregate shocks. We establish an averaging principle that relates time averages of the process and Nash equilibria of a suitably modified game. Furthermore, a sufficient condition for transience is given in terms of mixed equilibria and definiteness of the payoff matrix. We also present necessary and sufficient conditions for stochastic stability of pure equilibria.
Keywords
Cite
@article{arxiv.0908.4467,
title = {Time averages, recurrence and transience in the stochastic replicator dynamics},
author = {Josef Hofbauer and Lorens A. Imhof},
journal= {arXiv preprint arXiv:0908.4467},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.1214/08-AAP577 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)