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Stochastic Differential Games in a Non-Markovian Setting

✍ Scribed by Bayraktar, Erhan; Poor, H. Vincent


Book ID
115451669
Publisher
Society for Industrial and Applied Mathematics
Year
2005
Tongue
English
Weight
236 KB
Volume
43
Category
Article
ISSN
0363-0129

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Characterization of Markovian equilibria
✍ J.P RincΓ³n-Zapatero πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 377 KB

We consider an alternative method to the classical one for the determination of Markov perfect Nash equilibria. The approach shown in the paper is based on the study of a quasi-linear system of partial di erential equations instead of the Hamilton-Jacobi-Bellman system. The simpler structure of the