An overlapping generations stochastic differential game

Steffen Jørgensen; David W. K. Yeung

doi:10.1016/j.automatica.2004.06.022

An overlapping generations stochastic differential game

Steffen Jørgensen^*, David W. K. Yeung

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › peer-review

5 Citations (Scopus)

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

Original language	English
Pages (from-to)	69-74
Number of pages	6
Journal	Automatica
Volume	41
Issue number	1
DOIs	https://doi.org/10.1016/j.automatica.2004.06.022
Publication status	Published - Jan 2005
Externally published	Yes

User-Defined Keywords

Infinite time horizon
Overlapping generations
Stochastic differential game

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10.1016/j.automatica.2004.06.022

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title = "An overlapping generations stochastic differential game",

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

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author = "Steffen J{\o}rgensen and Yeung, {David W. K.}",

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N2 - 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.

AB - 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.

KW - Infinite time horizon

KW - Overlapping generations

KW - Stochastic differential game

UR - http://www.scopus.com/inward/record.url?scp=9644302665&partnerID=8YFLogxK

U2 - 10.1016/j.automatica.2004.06.022

DO - 10.1016/j.automatica.2004.06.022

M3 - Journal article

AN - SCOPUS:9644302665

SN - 0005-1098

VL - 41

SP - 69

EP - 74

JO - Automatica

JF - Automatica

IS - 1

ER -

An overlapping generations stochastic differential game

Abstract

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