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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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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