An overlapping generations stochastic differential game

Steffen Jørgensen*, David W. K. Yeung

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

5 Citations (Scopus)


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-Belhnan type. A resource extraction game is offered as an illustration.

Original languageEnglish
Pages (from-to)69-74
Number of pages6
Issue number1
Publication statusPublished - Jan 2005
Externally publishedYes

Scopus Subject Areas

  • Control and Systems Engineering
  • Electrical and Electronic Engineering

User-Defined Keywords

  • Infinite time horizon
  • Overlapping generations
  • Stochastic differential game


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