Dechert, W. Davis (contributor); … - 2005
is a function
Π(u1;:::;uN;x) (10)
such that a solution to the control problem
max
fu1;t¢¢¢uN;tg
E
" 1X
t=0
fltΠ(u1;t … optimal control problem (11) only requires us to solve
a single dynamic programming problem. The techniques in Dechert (1978 … equation (12), let us show
that a solution to the control problem satisfies the best reply property of a
Nash equilibrium of …