Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset
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| 008 | 210128e20150501xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s00199-015-0873-z |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s00199-015-0873-z | ||
| 245 | 0 | 0 | |a Euler-Lagrange equations of stochastic differential games: application to a game of a productive asset |h [Elektronische Daten] |c [Ricardo Josa-Fombellida, Juan Rincón-Zapatero] |
| 520 | 3 | |a This paper analyzes a noncooperative and symmetric dynamic game where players have free access to a productive asset whose evolution is a diffusion process with Brownian uncertainty. A Euler-Lagrange equation is found and used to provide necessary and sufficient conditions for the existence and uniqueness of a smooth Markov Perfect Nash Equilibrium. The Euler-Lagrange equation also provides a stochastic Keynes-Ramsey rule, which has the form of a forward-backward stochastic differential equation. It is used to study the properties of the equilibrium and to make some comparative statics exercises. | |
| 540 | |a Springer-Verlag Berlin Heidelberg, 2015 | ||
| 690 | 7 | |a Stochastic productive asset |2 nationallicence | |
| 690 | 7 | |a Markov Perfect Nash Equilibrium |2 nationallicence | |
| 690 | 7 | |a Euler-Lagrange equations |2 nationallicence | |
| 700 | 1 | |a Josa-Fombellida |D Ricardo |u Departamento de Estadística e Investigación Operativa and IMUVA, Universidad de Valladolid, P. de Belén 7, 47011, Valladolid, Spain |4 aut | |
| 700 | 1 | |a Rincón-Zapatero |D Juan |u Departamento de Economía, Universidad Carlos III de Madrid, C/ Madrid, 126, 28903, Getafe, Madrid, Spain |4 aut | |
| 773 | 0 | |t Economic Theory |d Springer Berlin Heidelberg |g 59/1(2015-05-01), 61-108 |x 0938-2259 |q 59:1<61 |1 2015 |2 59 |o 199 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s00199-015-0873-z |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s00199-015-0873-z |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Josa-Fombellida |D Ricardo |u Departamento de Estadística e Investigación Operativa and IMUVA, Universidad de Valladolid, P. de Belén 7, 47011, Valladolid, Spain |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Rincón-Zapatero |D Juan |u Departamento de Economía, Universidad Carlos III de Madrid, C/ Madrid, 126, 28903, Getafe, Madrid, Spain |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Economic Theory |d Springer Berlin Heidelberg |g 59/1(2015-05-01), 61-108 |x 0938-2259 |q 59:1<61 |1 2015 |2 59 |o 199 | ||