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

Ricardo Josa-Fombellida
Authors registered in the RePEc Author Service: Juan Pablo Rincón-Zapatero

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

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.

Keywords: Stochastic; differential; games; Dynamic; programming; Hamilton–Jacobi–Bellman; equation; Semilinear; parabolic; equation; Stochastic; productive; assets (search for similar items in EconPapers)
JEL-codes: C61 C73 E21 (search for similar items in EconPapers)
Date: 2008-11
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we086731

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