On a Constrained Infinite-Time Horizon Linear Quadratic Game

Mikhail I. Krastanov (), Rossen Rozenov () and Boyan K. Stefanov ()
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Mikhail I. Krastanov: Sofia University
Rossen Rozenov: International Monetary Fund
Boyan K. Stefanov: Sofia University

Dynamic Games and Applications, 2023, vol. 13, issue 3, No 7, 843-858

Abstract: Abstract A linear quadratic differential game on an infinite-time horizon is studied in the case when the controls of the minimizing player are subject to constraints. A sufficient condition for a saddle point equilibrium is provided based on the conversion of the infinite-time horizon game to a game on a finite-time horizon. The method is applied to a simple monetary policy model as an illustrative example.

Keywords: Differential games; Linear quadratic optimal control; Model uncertainty; Robustness (search for similar items in EconPapers)
JEL-codes: C61 C63 C73 E52 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s13235-022-00484-6

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