|
|||||
|
|
An overlapping generations stochastic differential game |
|
| Authors: | Steffen Jørgensen [Author Vitae] David WK Yeung |
| Affiliation: | a Department of Organization and Management, University of Southern Denmark, Campusvej 55, DK-5230, Odense M, Denmark b Centre of Game Theory, Hong Kong Baptist University, Kowloon Tong, Kowloon, Hong Kong |
| Abstract: | The paper presents a noncooperative stochastic differential game played by an infinite number of overlapping generations of players. The number and types of players in future generations are uncertain and the state dynamics are given by a stochastic differential equation. A Markovian Nash equilibrium is characterized by a verification theorem of the Hamilton-Jacobi-Bellman type. A resource extraction game is offered as an illustration. |
| Keywords: | Stochastic differential game Overlapping generations Infinite time horizon |
| 本文献已被 ScienceDirect 等数据库收录！ | |