A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method

Ron N. Borkovsky (), Ulrich Doraszelski () and Yaroslav Kryukov ()
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Ron N. Borkovsky: Rotman School of Management, University of Toronto, Toronto, Ontario M5S 3E6, Canada
Ulrich Doraszelski: Department of Economics, Harvard University, Cambridge, Massachusetts 02138
Yaroslav Kryukov: Tepper School of Business, Carnegie Mellon University, Pittsburgh, Pennsylvania 15213

Operations Research, 2010, vol. 58, issue 4-part-2, 1116-1132

Abstract: This paper provides a step-by-step guide to solving dynamic stochastic games using the homotopy method. The homotopy method facilitates exploring the equilibrium correspondence in a systematic fashion; it is especially useful in games that have multiple equilibria. We discuss the theory of the homotopy method and its implementation and present two detailed examples of dynamic stochastic games that are solved using this method.

Keywords: homotopy method; dynamic stochastic games; Markov-perfect equilibrium; equilibrium correspondence; game theory; industrial organization; numerical methods (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:58:y:2010:i:4-part-2:p:1116-1132

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