A Note on Discontinuous Value Functions and Strategies in Affine-Quadratic Differential Games
AbstractWe present an economic example of an affine-quadratic differential game where in Markov-perfect Nash equilibrium, the value function of a player is discontinuous in the model's parameters, implying that the strategy of that player is also discontinuous, even though the data of the game (state equation and pay-offs) are continuous in the parameters. Sufficient conditions ruling out such discontinuities are presented for the general scalar case.
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Bibliographic InfoPaper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9514.
Length: 8 pages
Date of creation: 1995
Date of revision:
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Other versions of this item:
- Jensen, Henrik & Lockwood, Ben, 1998. "A note on discontinuous value functions and strategies in affine-quadratic differential games," Economics Letters, Elsevier, vol. 61(3), pages 301-306, December.
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
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"A Positive Theory of Monetary Policy in a Natural Rate Model,"
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