Title :
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
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;
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
DOI :
10.1109/ICCIMA.2001.970496
