Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System

Abstract

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.Stochastic differential games, Dynamic programming, Hamilton–Jacobi–Bellman equation, Semilinear parabolic equation, Stochastic productive assets