Infinite-Horizon Stochastic Differential Games with Branching Payoffs |
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| Authors: | D W K Yeung |
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| Institution: | (1) Department of Finance and Decision Sciences, Hong Kong Baptist University, Hong Kong;(2) Center for Game Theory, Faculty of Applied Mathematics and Control Processes, St. Petersburg State University, St. Petersburg, Russia |
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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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| Keywords: | Stochastic differential games infinite-horizon processes branching processes Nash equilibria |
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