Avoiding the Curse of Dimensionality in Dynamic Stochastic Games

Continuous-time stochastic games with a finite number of states have substantial computational and conceptual advantages over the more common discrete-time model. In particular, continuous time avoids a curse of dimensionality and speeds up computations by orders of magnitude in games with more than a few state variables. The continuous-time approach opens the way to analyze more complex and realistic stochastic games than is feasible in discrete-time models.

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Year of publication:	2005-01
Authors:	Judd, Kenneth L. ; Doraszelski, Ulrich
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Technical Working Papers.
Type of publication:	Book / Working Paper
Notes:	TWP Number 0304
Classification:	C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005601544