Avoiding the Curse of Dimensionality in Dynamic Stochastic Games

Ulrich Doraszelski and Kenneth L. Judd ()

No 304, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: Continuous-time stochastic games with a finite number of states have substantial computational and conceptual advantages over the more common discrete-time model. In particular, continuous time avoids a curse of dimensionality and speeds up computations by orders of magnitude in games with more than a few state variables. The continuous-time approach opens the way to analyze more complex and realistic stochastic games than is feasible in discrete-time models.

JEL-codes: C63 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge and nep-gth
Date: 2005-01
Note: TWP
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Working Paper: Avoiding the Curse of Dimensionality in Dynamic Stochastic Games (2005)
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