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

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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Year of publication:	2008-11
Authors:	Josa-Fombellida, Ricardo ; Rincón-Zapatero, Juan Pablo
Institutions:	Departamento de Economía, Universidad Carlos III de Madrid
Subject:	Stochastic differential games \| Dynamic programming \| Hamilton–Jacobi–Bellman equation \| Semilinear parabolic equation \| Stochastic productive assets

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C73 - Stochastic and Dynamic Games ; E21 - Consumption; Saving
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008486980