Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System
AbstractThis 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.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we086731.
Date of creation: Nov 2008
Date of revision:
Stochastic differential games; Dynamic programming; Hamilton–Jacobi–Bellman equation; Semilinear parabolic equation; Stochastic productive assets;
Find related papers by 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 - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
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- Gerhard Sorger, 1997.
"Markov-perfect Nash equilibria in a class of resource games,"
Springer, vol. 11(1), pages 79-100.
- Gerhard Sorger, 1996. "Markov Perfect Nash Equilibria in a Class of Resource Games," CIRANO Working Papers 96s-15, CIRANO.
- Martín-Herrán, G. & Rincón-Zapatero, Juan Pablo, 2005.
"Efficient Markov perfect Nash equilibria: theory and application to dynamic fishery games,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/5577, Universidad Carlos III de Madrid.
- Martin-Herran, G. & Rincon-Zapatero, J.P., 2005. "Efficient Markov perfect Nash equilibria: theory and application to dynamic fishery games," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 1073-1096, June.
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- 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.
- 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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