Jesús Marín-Solano, Ekaterina V. Shevkoplyas, “Non-Constant Discounting in Differential Games with Random Duration”, Contributions to Game Theory and Management, 2010, Volume 3,Pages <nobr>267

This article is cited in 3 papers

Non-Constant Discounting in Differential Games with Random Duration

Jesús Marín-Solano^a, Ekaterina V. Shevkoplyas^b

^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

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.

Language: English