Publication:
Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System

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URI: https://hdl.handle.net/10016/3242
ISSN: 2340-5031
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we086731.pdf (331.29 KB)
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2008-11
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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.
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Stochastic differential games, Dynamic programming, Hamilton–Jacobi–Bellman equation, Semilinear parabolic equation, Stochastic productive assets
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DE - Working Papers. Economics. WE
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