Abstract
In this paper, we consider infinite-horizon stochastic differential games with an autonomous structure and steady branching payoffs. While the introduction of additional stochastic elements via branching payoffs offers a fruitful alternative to modeling game situations under uncertainty, the solution to such a problem is not known. A theorem on the characterization of a Nash equilibrium solution for this kind of games is presented. An application in renewable resource extraction is provided to illustrate the solution mechanism.
| Original language | English |
|---|---|
| Pages (from-to) | 445-460 |
| Number of pages | 16 |
| Journal | Journal of Optimization Theory and Applications |
| Volume | 111 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Nov 2001 |
| Externally published | Yes |
Scopus Subject Areas
- Management Science and Operations Research
- Control and Optimization
- Applied Mathematics
User-Defined Keywords
- Stochastic differential games
- infinite-horizon processes
- branching processes
- Nash equilibria
