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

Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo

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

Editor: Universidad Carlos III de Madrid. Departamento de Economía

Issued date: 2008-11

ISSN: 2340-5031

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

URI: http://hdl.handle.net/10016/3242

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

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. [+]

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