Title

The Envelope Theorem For Locally Differentiable Nash Equilibria Of Discounted And Autonomous Infinite Horizon Differential Games

Keywords

Differential games; Envelope theorem; Feedback Nash equilibria; Open-loop Nash equilibria

Abstract

The envelope theorem is extended to cover the class of discounted and autonomous infinite horizon differential games that possess locally differentiable Nash equilibria. The theorems cover open-loop and feedback information structures and are applied to an analytically solvable linear-quadratic game. The linear-quadratic structure permits additional insight into the theorems that is not available in the general case. With open-loop information, for example, the costate variable is shown to uniformly overstate the shadow value of the state variable, but the growth rates of the two are identical. © 2012 Springer Science+Business Media, LLC.

Publication Date

9-1-2012

Publication Title

Dynamic Games and Applications

Volume

2

Issue

3

Number of Pages

313-334

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1007/s13235-012-0045-8

Socpus ID

84865711494 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84865711494

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