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Avoiding the Curse of Dimensionality in Dynamic Stochastic Games

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  • Ulrich Doraszelski
  • Kenneth L. Judd

Abstract

Continuous-time stochastic games with a finite number of states have substantial computational and conceptual advantages over the more common discrete-time model. In particular, continuous time avoids a curse of dimensionality and speeds up computations by orders of magnitude in games with more than a few state variables. The continuous-time approach opens the way to analyze more complex and realistic stochastic games than is feasible in discrete-time models.

Suggested Citation

  • Ulrich Doraszelski & Kenneth L. Judd, 2005. "Avoiding the Curse of Dimensionality in Dynamic Stochastic Games," NBER Technical Working Papers 0304, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberte:0304
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    References listed on IDEAS

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    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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