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Contributions to Game Theory and Management, 2010, Volume 3, Pages 267–279 (Mi cgtm90)  
This article is cited in 3 scientific papers (total in 3 papers)

Non-Constant Discounting in Differential Games with Random Duration

Jesús Marín-Solanoa, Ekaterina V. Shevkoplyasb

a Universitat de Barcelona, Departament de Matemàtica Econòmica, Financera i Actuarial, Av. Diagonal 690, Barcelona, 08034 Spain
b St. Petersburg State University, Faculty of Applied Mathematics and Control Processes, Universitetskii pr., 35, Petergof, St. Petersburg, 198904 Russia
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Abstract: Previous results on non-constant discounting in continuous time are extended to the field of deterministic differential games with a stochastic terminal time. Different cooperative and non-cooperative solution concepts for differential games with random duration are analyzed. The results are illustrated by solving the cake-eating problem describing the classical model of management of a nonrenewable resource for a logarithmic utility function. Time-consistency in cooperative differential games with non-constant discounting is briefly discussed.
Keywords: non-constant discounting, naive and sophisticated agents, random duration, differential games, non-renewable resources.
Document Type: Article
Language: English
Citation: Jesús Marín-Solano, Ekaterina V. Shevkoplyas, “Non-Constant Discounting in Differential Games with Random Duration”, Contributions to Game Theory and Management, 3 (2010), 267–279
Citation in format AMSBIB
\Bibitem{MarShe10}
\by Jes\'us~Mar{\'\i}n-Solano, Ekaterina~V.~Shevkoplyas
\paper Non-Constant Discounting in Differential Games with Random Duration
\jour Contributions to Game Theory and Management
\yr 2010
\vol 3
\pages 267--279
\mathnet{http://mi.mathnet.ru/cgtm90}
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    • This publication is cited in the following 3 articles:
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