On a Constrained Infinite-Time Horizon Linear Quadratic Game

A linear quadratic zero-sum differential game on an infinite-time horizon is studied in the case when the controls of the minimizing player are subject to constraints. A sufficient condition for a saddle point equilibrium is provided based on conversion of the infinite-time horizon game to a game on a finite-time horizon. The method is applied to a simple monetary policy model as an illustrative example

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Year of publication:	[2021]
Authors:	Krastanov, Mikhail I. ; Rozenov, Rossen ; Stefanov, Boyan K.
Publisher:	[S.l.] : SSRN
Subject:	Spieltheorie \| Game theory \| Mathematische Optimierung \| Mathematical programming \| Nichtkooperatives Spiel \| Noncooperative game

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3934207 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013211051