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Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System

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  • Josa-Fombellida, Ricardo
  • Rincón-Zapatero, Juan Pablo

Abstract

This paper gives a new method to characterize Markov Perfect Nash Equilibrium in stochastic differential games by means of a set of Generalized Euler Equations. Necessary and sufficient conditions are given.

Suggested Citation

  • Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2008. "Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System," UC3M Working papers. Economics we086731, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:we086731
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    References listed on IDEAS

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    1. Dockner, Engelbert J. & Sorger, Gerhard, 1996. "Existence and Properties of Equilibria for a Dynamic Game on Productive Assets," Journal of Economic Theory, Elsevier, vol. 71(1), pages 209-227, October.
    2. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
    3. Gerhard Sorger, 1997. "Markov-perfect Nash equilibria in a class of resource games," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 11(1), pages 79-100.
    4. Chang, Fwu-Ranq, 1988. "The Inverse Optimal Problem: A Dynamic Programming Approach," Econometrica, Econometric Society, vol. 56(1), pages 147-172, January.
    5. Sorger, Gerhard, 1989. "Competitive dynamic advertising : A modification of the Case game," Journal of Economic Dynamics and Control, Elsevier, vol. 13(1), pages 55-80, January.
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    More about this item

    Keywords

    Stochastic differential games;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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