Subgame consistent cooperative solutions in stochastic differential games with asynchronous horizons and uncertain types of players

Abstract

This paper considers cooperative stochastic differential games in which players enter the game at different times and have diverse horizons. Moreover, the types of future players are not known with certainty. Subgame consistent cooperative solutions and analytically tractable payoff distribution mechanisms leading to the realization of these solutions are derived. This analysis widens the application of cooperative stochastic differential game theory to problems where the players' game horizons are asynchronous and the types of future players are uncertain. It represents the first time that subgame consistent solutions for cooperative stochastic differential games with asynchronous players' horizons and uncertain types of future players are formulated.