Infinite horizon stochastic differential games with uncertain future payoff structures

Author

Yeung, David Wing-Kay

Author_Institution

Dept. of Finance & Decision Sci., Hong Kong Baptist Univ., China

fYear

2001

fDate

2001

Firstpage

367

Lastpage

372

Abstract

The author considers 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 game is presented. An application in renewable resource extraction is provided to illustrate the solution mechanism

Keywords

differential games; optimisation; stochastic games; uncertain systems; Nash equilibrium solution; autonomous structure; branching payoffs; game situations; infinite horizon stochastic differential games; renewable resource extraction; solution mechanism; steady branching payoffs; stochastic elements; uncertain future payoff structures; uncertainty; Convergence; Covariance matrix; Equations; Feedback; Game theory; Infinite horizon; Random variables; Steady-state; Stochastic processes; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence and Multimedia Applications, 2001. ICCIMA 2001. Proceedings. Fourth International Conference on

Conference_Location

Yokusika City

Print_ISBN

0-7695-1312-3

Type

conf

DOI

10.1109/ICCIMA.2001.970496

Filename

970496