Abstract
The uniqueness of Nash equilibria is shown for a class of stochastic differential games where the dynamic constraints are linear in the control variables. The result is applied to an oligopoly.
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Communicated by G. Leitmann
This paper benefitted from comments by two anonymous referees and by L. Blume and C. Simon.
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Wernerfelt, B. Uniqueness of Nash equilibrium for linear-convex stochastic differential games. J Optim Theory Appl 53, 133–138 (1987). https://doi.org/10.1007/BF00938822
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DOI: https://doi.org/10.1007/BF00938822