Dynamic games in management science with interest rate uncertainty

David W. K. Yeung*

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review


This paper incorporates interest rate uncertainty in differential games applied in management science. A solution mechanism for games with uncertain interest rates is developed, and a novel characterizing the solution is established. This is the first time differential games with uncertain interest rates are developed and solved. An application in commercial resource extraction is provided. In particular, the impact of interest rate variations on the value of the firm is presented in a dynamic game framework. Numerical illustrations and computer generated results are presented. The analysis is also extended to cases with stochastic dynamics.

Original languageEnglish
Pages (from-to)205-225
Number of pages21
JournalComputational Management Science
Issue number2
Early online date31 Jan 2007
Publication statusPublished - Apr 2007
Externally publishedYes

Scopus Subject Areas

  • Management Information Systems
  • Information Systems

User-Defined Keywords

  • Interest Rate
  • Differential Game
  • Management Science
  • Dynamic Game
  • Resource Stock


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