IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v111y2001i2d10.1023_a1011994604278.html
   My bibliography  Save this article

Infinite-Horizon Stochastic Differential Games with Branching Payoffs

Author

Listed:
  • D. W. K. Yeung

    (Hong Kong Baptist University
    St. Petersburg State University)

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.

Suggested Citation

  • D. W. K. Yeung, 2001. "Infinite-Horizon Stochastic Differential Games with Branching Payoffs," Journal of Optimization Theory and Applications, Springer, vol. 111(2), pages 445-460, November.
    • Handle: RePEc:spr:joptap:v:111:y:2001:i:2:d:10.1023_a:1011994604278
    DOI: 10.1023/A:1011994604278
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1023/A:1011994604278
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1023/A:1011994604278?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Yeung, David W. K., 1996. "A differential game model of a market of substitutable products," European Journal of Operational Research, Elsevier, vol. 90(3), pages 599-608, May.
    2. Kaitala, Veijo, 1993. "Equilibria in a stochastic resource management game under imperfect information," European Journal of Operational Research, Elsevier, vol. 71(3), pages 439-453, December.
    3. Sorger, Gerhard, 1989. "Competitive dynamic advertising : A modification of the Case game," Journal of Economic Dynamics and Control, Elsevier, vol. 13(1), pages 55-80, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Luca Grilli, 2004. "A Differential Game for Renewable Resource Extraction Asymmetric Players and Asynchronous Horizons," Quaderni DSEMS lg_cart_2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    2. D. W. K. Yeung & L. A. Petrosyan, 2004. "Subgame Consistent Cooperative Solutions in Stochastic Differential Games," Journal of Optimization Theory and Applications, Springer, vol. 120(3), pages 651-666, March.
    3. D.W.K. Yeung & L.A. Petrosyan, 2005. "Subgame Consistent Solutions of a Cooperative Stochastic Differential Game with Nontransferable Payoffs," Journal of Optimization Theory and Applications, Springer, vol. 124(3), pages 701-724, March.
    4. Ricardo Josa-Fombellida & Juan Pablo Rincón-Zapatero, 2018. "Stochastic Differential Games for Which the Open-Loop Equilibrium is Subgame Perfect," Dynamic Games and Applications, Springer, vol. 8(2), pages 379-400, June.
    5. David Yeung & Ovanes Petrosian, 2017. "Infinite Horizon Dynamic Games: A New Approach via Information Updating," International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-23, December.
    6. Luca Grilli, 2004. "A Stackelberg Differential Game with Overlapping Generations," Quaderni DSEMS lg_elx_2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Colombo, Luca & Labrecciosa, Paola, 2021. "A stochastic differential game of duopolistic competition with sticky prices," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    2. Zenkevich, Nikolay A. & Petrosjan, Leon A., 2006. "Time-consistency of cooperative solutions," Working Papers 815, Graduate School of Management, St. Petersburg State University.
    3. Gerhard Sorger, 2005. "A dynamic common property resource problem with amenity value and extraction costs," International Journal of Economic Theory, The International Society for Economic Theory, vol. 1(1), pages 3-19, March.
    4. Richards, Timothy J. & Patterson, Paul M., 2000. "New Varieties And The Returns To Commodity Promotion: The Case Of Fuji Apples," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 29(1), pages 1-14, April.
    5. Richards, Timothy J. & Patterson, Paul M., 1998. "New Varieties and the Returns to Commodity Promotion: Washington Fuji Apples," Working Papers 28541, Arizona State University, Morrison School of Agribusiness and Resource Management.
    6. Yeung, David W. K., 1996. "A differential game model of a market of substitutable products," European Journal of Operational Research, Elsevier, vol. 90(3), pages 599-608, May.
    7. Fruchter, Gila E. & Kalish, Shlomo, 1998. "Dynamic promotional budgeting and media allocation," European Journal of Operational Research, Elsevier, vol. 111(1), pages 15-27, November.
    8. Alderighi, Marco & Bianchi, Carluccio & Lorenzini, Eleonora, 2016. "The impact of local food specialities on the decision to (re)visit a tourist destination: Market-expanding or business-stealing?," Tourism Management, Elsevier, vol. 57(C), pages 323-333.
    9. L. Colombo & L. Lambertini, 2003. "Dynamic Advertising Under Vertical Product Differentiation," Journal of Optimization Theory and Applications, Springer, vol. 119(2), pages 261-280, November.
    10. Caputo, Michael R. & Ling, Chen, 2013. "The intrinsic comparative dynamics of locally differentiable feedback Nash equilibria of autonomous and exponentially discounted infinite horizon differential games," Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 1982-1994.
    11. Krishnamoorthy, Anand & Prasad, Ashutosh & Sethi, Suresh P., 2010. "Optimal pricing and advertising in a durable-good duopoly," European Journal of Operational Research, Elsevier, vol. 200(2), pages 486-497, January.
    12. Luca Grilli, 2003. "Resource extraction activity: an intergenerational approach," Quaderni DSEMS 01-2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    13. Anshuman Chutani & Suresh Sethi, 2012. "Cooperative Advertising in a Dynamic Retail Market Oligopoly," Dynamic Games and Applications, Springer, vol. 2(4), pages 347-375, December.
    14. Dengpan Liu & Subodha Kumar & Vijay S. Mookerjee, 2020. "Flexible and Committed Advertising Contracts in Electronic Retailing," Information Systems Research, INFORMS, vol. 31(2), pages 323-339, June.
    15. Pradeep K. Chintagunta & Dipak C. Jain, 1995. "Empirical Analysis of a Dynamic Duopoly Model of Competition," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 4(1), pages 109-131, March.
    16. Jules Selles, 2018. "Fisheries management: what uncertainties matter?," Working Papers hal-01824238, HAL.
    17. Richards, Timothy J., 2002. "Dynamic Strategic Interaction: A Synthesis Of Modeling Methods," Western Economics Forum, Western Agricultural Economics Association, vol. 1(1), pages 1-5.
    18. Josa-Fombellida, Ricardo, 2008. "Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System," UC3M Working papers. Economics we086731, Universidad Carlos III de Madrid. Departamento de Economía.
    19. L. Colombo & L. Lambertini, 2003. "Quality and Advertising in a Dynamic Duopoly," Working Papers 490, Dipartimento Scienze Economiche, Universita' di Bologna.
    20. D. W. K. Yeung & L. A. Petrosyan, 2004. "Subgame Consistent Cooperative Solutions in Stochastic Differential Games," Journal of Optimization Theory and Applications, Springer, vol. 120(3), pages 651-666, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:111:y:2001:i:2:d:10.1023_a:1011994604278. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.