RT info:eu-repo/semantics/article
T1 Certainty equivalence principle in stochastic differential games: An inverse problem approach
A1 Josa Fombellida, Ricardo
A1 Rincón Zapatero, Juan Pablo
K1 Competitive resource management
AB This paper aims to characterize a class of stochastic differential games, which satisfy the certainty equivalence principle beyond the cases with quadratic, linear, or logarithmic value functions. We focus on scalar games with linear dynamics in the players' strategies and with separable payoff functionals. Our results are based on the resolution of an inverse problem that determines strictly concave utility functions of the players so that the game satisfies the certainty equivalence principle. Besides establishing necessary and sufficient conditions, the results obtained in this paper are also a tool for discovering new closed-form solutions, as we show in two specific applications: in a generalization of a dynamic advertising model and in a game of noncooperative exploitation of a productive asset.
PB John Wiley & Sons, Ltd
SN 1099-1514
YR 2019
FD 2019
LK http://uvadoc.uva.es/handle/10324/37899
UL http://uvadoc.uva.es/handle/10324/37899
LA eng
NO Optimal Control. Applications and Methods, may/june 2019, vol. 40, n. 3, p. 545-557.
NO Producción Científica
DS UVaDOC
RD 23-nov-2024