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.
Scopus Subject Areas
- Control and Systems Engineering
- Electrical and Electronic Engineering
- Infinite time horizon
- Overlapping generations
- Stochastic differential game