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| we086731.pdf | -- 2008-12-04 -- Available on Internet -- preprint | 331,29 kB | Adobe PDF | |  |
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| Title: | Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System |
| Author(s): | Josa-Fombellida, Ricardo
Rincón-Zapatero, Juan Pablo [jrincon] |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Economía |
| Issued date: | Nov-2008 |
| URI: | http://hdl.handle.net/10016/3242 |
| Abstract: | This paper gives a new method to characterize Markov Perfect Nash Equilibrium in stochastic differential games by means of a set of Generalized Euler Equations. Necessary and sufficient conditions are given. |
| Serie / Nº.: | UC3M Working papers. Economics
08-31 |
| Keywords: | Stochastic differential games
Dynamic programming
Hamilton–Jacobi–Bellman equation
Semilinear parabolic equation
Stochastic productive assets |
| JEL Classification: | C61
C73
E21 |
| Appears in Collections: | DE - Working Papers. Economics. WE
Economists Online
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