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A note on discontinuous value functions and strategies in affine-quadratic differential games

  • Jensen, Henrik
  • Lockwood, Ben

We 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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File URL: http://www.sciencedirect.com/science/article/B6V84-3Y8WGMK-6/2/93abc158b9756fb78daf94f31a67096b
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 61 (1998)
Issue (Month): 3 (December)
Pages: 301-306

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Handle: RePEc:eee:ecolet:v:61:y:1998:i:3:p:301-306
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Robert J. Barro & David B. Gordon, 1981. "A Positive Theory of Monetary Policy in a Natural-Rate Model," NBER Working Papers 0807, National Bureau of Economic Research, Inc.
  2. Lockwood, Ben, 1996. "Uniqueness of Markov-perfect equilibrium in infinite-time affine-quadratic differential games," Journal of Economic Dynamics and Control, Elsevier, vol. 20(5), pages 751-765, May.
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