Markov Perfect Nash Equilibrium in Stochastic Differetial Games as Solution of a Generalized Euler Equations System

  1. Josa Fombellida, Ricardo
  2. Rincón Zapatero, Juan Pablo
Journal:
Documentos de trabajo. Economic series ( Universidad Carlos III. Departamento de Economía )

Year of publication: 2008

Issue: 67

Type: Working paper

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Abstract

This paper gives a new method to characterize Markov Perfect Nash Equilibrium in stochastic differential games by means of a set of Generalized Euler Equations. Necessary and sufficient conditions are given.

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