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An overlapping generations stochastic differential game
Date Issued
2005
Journal
ISSN
0005-1098
Citation
Automatica, Jan. 2005, vol. 41(1), pp. 69-74.
Type
Peer Reviewed Journal Article
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.
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