Please use this identifier to cite or link to this item:
http://hdl.handle.net/20.500.11861/6454
Title: | Infinite-horizon stochastic differential games with branching payoffs |
Authors: | Prof. YEUNG Wing Kay, David |
Issue Date: | 2001 |
Source: | Journal of Optimization Theory and Applications, 2001, vol. 111, pp. 445-460. |
Journal: | Journal of Optimization Theory and Applications |
Abstract: | In this paper, we consider infinite-horizon stochastic differential games with an autonomous structure and steady branching payoffs. While the introduction of additional stochastic elements via branching payoffs offers a fruitful alternative to modeling game situations under uncertainty, the solution to such a problem is not known. A theorem on the characterization of a Nash equilibrium solution for this kind of games is presented. An application in renewable resource extraction is provided to illustrate the solution mechanism. |
Type: | Peer Reviewed Journal Article |
URI: | http://hdl.handle.net/20.500.11861/6454 |
ISSN: | 0022-3239 |
DOI: | 10.1023/A:1011994604278 |
Appears in Collections: | Economics and Finance - Publication |
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