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Avoiding the Curse of Dimensionality in Dynamic Stochastic Games

  • Ulrich Doraszelski
  • Kenneth L. Judd

Continuous-time stochastic games with a finite number of states have substantial computational and conceptual advantages over the more common discrete-time model. In particular, continuous time avoids a curse of dimensionality and speeds up computations by orders of magnitude in games with more than a few state variables. The continuous-time approach opens the way to analyze more complex and realistic stochastic games than is feasible in discrete-time models.

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File URL: http://www.nber.org/papers/t0304.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0304.

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Date of creation: Jan 2005
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Handle: RePEc:nbr:nberte:0304
Note: TWP
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  5. Ariel Pakes & Michael Ostrovsky & Steve Berry, 2004. "Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)," NBER Working Papers 10506, National Bureau of Economic Research, Inc.
  6. Ariel Pakes, 2000. "A Framework for Applied Dynamic Analysis in I.O," NBER Working Papers 8024, National Bureau of Economic Research, Inc.
  7. Gowrisankaran, Gautam, 1999. "Efficient representation of state spaces for some dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 23(8), pages 1077-1098, August.
  8. Pakes, Ariel & McGuire, Paul, 2001. "Stochastic Algorithms, Symmetric Markov Perfect Equilibrium, and the 'Curse' of Dimensionality," Econometrica, Econometric Society, vol. 69(5), pages 1261-81, September.
  9. Patricia Langohr, 2003. "Competitive Convergence and Divergence: Capability and Position Dynamics," Computing in Economics and Finance 2003 229, Society for Computational Economics.
  10. Ulrich Doraszelski & Sarit Markovich, 2004. "Advertising Dynamics and Competitive Advantage," Computing in Economics and Finance 2004 61, Society for Computational Economics.
  11. Ronald L. Goettler & Christine A. Parlour, 2004. "Equilibrium in a Dynamic Limit Order Market," 2004 Meeting Papers 757, Society for Economic Dynamics.
  12. Erkan Erdem & James Tybout, 2003. "Trade Policy and Industrial Sector Responses: Using Evolutionary Models to Interpret the Evidence," NBER Working Papers 9947, National Bureau of Economic Research, Inc.
  13. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
  14. C. Lanier Benkard, 2004. "A Dynamic Analysis of the Market for Wide-Bodied Commercial Aircraft," Review of Economic Studies, Wiley Blackwell, vol. 71, pages 581-611, 07.
  15. Ulrich Doraszelski & Mark Satterthwaite, 2003. "Foundations of Markov-Perfect Industry Dynamics. Existence, Purification, and Multiplicity," Discussion Papers 1383, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  16. repec:cup:cbooks:9780521637329 is not listed on IDEAS
  17. Ulrich Doraszelski & Sarit Markovich, 2004. "Advertising Dynamics and Competitive Advantage," Econometric Society 2004 North American Summer Meetings 162, Econometric Society.
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