Non-Constant Discounting in Differential Games with Random Duration

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.