Source: Adv. in Appl. Probab.
Volume 35, Number 4
We consider the stochastic sequence
defined recursively by the linear relation
in a random environment. The environment is described by the
and is under the simultaneous control of several agents playing a
discounted stochastic game. We formulate sufficient conditions on
the game which ensure the existence of Nash equilibria in Markov
strategies which have the additional property that, in
equilibrium, the process
converges in distribution to a stationary regime.
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