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Infinite-horizon stochastic differential games with branching payoffs
Author(s)
Date Issued
2001
ISSN
0022-3239
Citation
Journal of Optimization Theory and Applications, 2001, vol. 111, pp. 445-460.
Type
Peer Reviewed Journal Article
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.
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