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

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  • Ricardo Josa-Fombellida

    ()

  • Juan Pablo Rincón-Zapatero

    ()

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.

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File URL: http://e-archivo.uc3m.es/bitstream/10016/3242/1/we086731.pdf
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Bibliographic Info

Paper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we086731.

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Date of creation: Nov 2008
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Handle: RePEc:cte:werepe:we086731

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Related research

Keywords: Stochastic differential games; Dynamic programming; Hamilton–Jacobi–Bellman equation; Semilinear parabolic equation; Stochastic productive assets;

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  1. Gerhard Sorger, 1996. "Markov Perfect Nash Equilibria in a Class of Resource Games," CIRANO Working Papers, CIRANO 96s-15, CIRANO.
  2. Dockner, Engelbert J. & Sorger, Gerhard, 1996. "Existence and Properties of Equilibria for a Dynamic Game on Productive Assets," Journal of Economic Theory, Elsevier, Elsevier, vol. 71(1), pages 209-227, October.
  3. Sorger, Gerhard, 1989. "Competitive dynamic advertising : A modification of the Case game," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 13(1), pages 55-80, January.
  4. Chang, Fwu-Ranq, 1988. "The Inverse Optimal Problem: A Dynamic Programming Approach," Econometrica, Econometric Society, Econometric Society, vol. 56(1), pages 147-72, January.
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