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Infinite-Horizon Stochastic Differential Games with Branching Payoffs

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Abstract

In this paper, we consider infinite-horizon stochastic differential games with an autonomous structure and steady branching payoffs. While the introduction of additional stochastic elements via branching payoffs offers a fruitful alternative to modeling game situations under uncertainty, the solution to such a problem is not known. A theorem on the characterization of a Nash equilibrium solution for this kind of games is presented. An application in renewable resource extraction is provided to illustrate the solution mechanism.

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Authors and Affiliations

  1. Department of Finance and Decision Sciences, Hong Kong Baptist University, Hong Kong

    D. W. K. Yeung (Professor)

  2. Center for Game Theory, Faculty of Applied Mathematics and Control Processes, St. Petersburg State University, St. Petersburg, Russia

    D. W. K. Yeung (Professor)

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  1. D. W. K. Yeung
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Yeung, D.W.K. Infinite-Horizon Stochastic Differential Games with Branching Payoffs. Journal of Optimization Theory and Applications 111, 445–460 (2001). https://doi.org/10.1023/A:1011994604278

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  • DOI: https://doi.org/10.1023/A:1011994604278

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