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Learning Nash Equilibria

By Darong Dai

Abstract

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.

Topics: C72 - Noncooperative Games, C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
Year: 2012
DOI identifier: 10.2139/ssrn.2162361
OAI identifier: oai:mpra.ub.uni-muenchen.de:40040

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