Subgame Consistent Solutions of a Cooperative Stochastic Differential Game with Nontransferable Payoffs

D.W.K. Yeung and L.A. Petrosyan
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D.W.K. Yeung: Decision Sciences,Center for Game Theory
L.A. Petrosyan: Applied Mathematics and Control Processes, Center for Game Theory

Journal of Optimization Theory and Applications, 2005, vol. 124, issue 3, No 9, 724 pages

Abstract: Abstract Subgame consistency is a fundamental element in the solution of cooperative stochastic differential games. In particular, it ensures that the extension of the solution policy to a later starting time and any possible state brought about by the prior optimal behavior of the players would remain optimal. Recently, mechanisms for the derivation of subgame consistent solutions in stochastic cooperative differential games with transferable payoffs have been found. In this paper, subgame consistent solutions are derived for a class of cooperative stochastic differential games with nontransferable payoffs. The previously intractable subgame consistent solution for games with nontransferable payoffs is rendered tractable.

Keywords: Stochastic differential games; cooperative solutions; subgame consistency; nontransferable payoffs (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (12)

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DOI: 10.1007/s10957-004-1181-0

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