期刊名称：HIER Discussion Paper Series / Harvard Institute of Economic Research
出版年度：2005
卷号：2005
出版社：Harvard Institute of Economic Research
摘要：Discrete-time stochastic games with a finite number of states have been widely
ap- plied to study the strategic interactions among forward-looking players in
dynamic en- vironments. However, these games suffer from a "curse of
dimensionality" since the cost of computing players' expectations over all
possible future states increases exponentially in the number of state variables.
We explore the alternative of continuous-time stochas- tic games with a finite
number of states, and show that continuous time has substantial computational
and conceptual advantages. Most important, continuous time avoids the curse of
dimensionality, thereby speeding up the computations by orders of magnitude in
games with more than a few state variables. Overall, the continuous-time
approach opens the way to analyze more complex and realistic stochastic games
than currently feasible.
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