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Stochastic differential games in economic modeling

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Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 197))

Abstract

In this paper we present two continuous-time models of economic competition which are based on a stochastic differential game formalism. We focus our presentation on the modeling possibilities offered by the frameworks of piecewise deterministic and switching diffusion control systems respectively. We develop two duopoly models: a dynamic R&D competition model and a stochastic fishery exploitation model with correlated equilibrium. Some indications on the numerical solution of these games are also given.

Research supported by NSERC-Canada, FCAR-Quebec, and FNRS-Switzerland

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Authors and Affiliations

  1. Université de Genève, France

    Alain Haurie

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  1. Alain Haurie
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Jacques Henry Jean-Pierre Yvon

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© 1994 Springer-Verlag

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Haurie, A. (1994). Stochastic differential games in economic modeling. In: Henry, J., Yvon, JP. (eds) System Modelling and Optimization. Lecture Notes in Control and Information Sciences, vol 197. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0035461

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  • DOI: https://doi.org/10.1007/BFb0035461

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-19893-2

  • Online ISBN: 978-3-540-39337-5

  • eBook Packages: Springer Book Archive

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