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Solution Mechanisms For Cooperative Stochastic Differential Games

Author

Listed:
  • DAVID W. K. YEUNG

    (Department of Finance & Decision Sciences, Hong Kong Baptist University, Kowloon Tong, Hong Kong, China;
    Centre for Game Theory, St Petersburg State University, Petrodivrets, 198904, St Petersburg, Russia)

Abstract

Cooperative stochastic differential games constitute a highly complex form of decision making under uncertainty. In particular, interactions between strategic behaviors, dynamic evolution, stochastic elements and solution agreement have to be considered simultaneously. This complexity leads to great difficulties in the derivation of dynamically stable solutions. Despite urgent calls for cooperation in the global economy, the lack of formal analyses has precluded rigorous analysis of this problem. In this paper, mechanisms for the derivation of dynamically stable solutions to cooperative stochastic differential games are presented. Games with transferable payoffs and those with nontransferable payoffs are considered. Numerical illustrations are also provided.

Suggested Citation

  • David W. K. Yeung, 2006. "Solution Mechanisms For Cooperative Stochastic Differential Games," International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 309-326.
    • Handle: RePEc:wsi:igtrxx:v:08:y:2006:i:02:n:s0219198906000916
    DOI: 10.1142/S0219198906000916
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    References listed on IDEAS

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    1. Leon A Petrosyan & Nikolay A Zenkevich, 2016. "Game Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9824, September.
    2. Richard Bellman, 1957. "On a Dynamic Programming Approach to the Caterer Problem--I," Management Science, INFORMS, vol. 3(3), pages 270-278, April.
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    More about this item

    Keywords

    Cooperative solution; stochastic differential games; subgame consistency;
    All these keywords.

    JEL classification:

    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • C0 - Mathematical and Quantitative Methods - - General
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D7 - Microeconomics - - Analysis of Collective Decision-Making
    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics

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