A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method

• 成果类型: Article
• 署名作者: Borkovsky, Ron N.; Doraszelski, Ulrich; Kryukov, Yaroslav
• 署名单位: University of Toronto; Harvard University; Carnegie Mellon University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.1100.0843
• 发表日期: 2010
• 页码: 1116-1132
• 关键词: general equilibrium-model; algorithm; CODES; suite

摘要

This paper provides a step-by-step guide to solving dynamic stochastic games using the homotopy method. The homotopy method facilitates exploring the equilibrium correspondence in a systematic fashion; it is especially useful in games that have multiple equilibria. We discuss the theory of the homotopy method and its implementation and present two detailed examples of dynamic stochastic games that are solved using this method.