Abstract
This paper widens the scope of endogenous-horizon differential games by introducing uncertainty into the model along the line of the work of Yeung (2001 and 2003). In particular, we propose a new class of games - designated as endogenous-horizon randomly furcating stochastic differential games. The analysis allows random shocks to appear in the players’ future payoffs. Since these payoffs are uncertain, the term “randomly furcating” is introduced to emphasize that a useful way to analyze such situations is to assume that payoffs change at any instant of time according to known probability distributions defined in terms of multiple-branching stochastic processes.
Original language | English |
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Title of host publication | Game Theory and Applications |
Editors | L. A. Petrosjan, V. Mazalov |
Place of Publication | New York |
Publisher | Nova Science Publishers |
Pages | 199-217 |
Number of pages | 19 |
Volume | 9 |
ISBN (Print) | 9781590338438, 159033843X |
Publication status | Published - Oct 2003 |
Externally published | Yes |