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handle: 10016/3242
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.
Semilinear parabolic equation, Dynamic programming, Stochastic productive assets, Economía, Hamilton–Jacobi–Bellman equation, C61, C73, Stochastic differential games, E21, jel: jel:C61, jel: jel:C73, jel: jel:E21
Semilinear parabolic equation, Dynamic programming, Stochastic productive assets, Economía, Hamilton–Jacobi–Bellman equation, C61, C73, Stochastic differential games, E21, jel: jel:C61, jel: jel:C73, jel: jel:E21
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