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

44 Pages Posted: 11 Jun 2008

See all articles by Ron N. Bar (formerly Borkovsky)

Ron N. Bar (formerly Borkovsky)

Independent

Ulrich Doraszelski

Harvard University - Department of Economics; University of Pennsylvania - Business & Public Policy Department

Yaroslav (Steve) Kryukov

Northwestern University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: March 2008

Abstract

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.

Keywords: computation, dynamic stochastic games, homotopy method, Markov-perfect equilibrium

JEL Classification: C63, C73

Suggested Citation

Bar, Ron N. and Doraszelski, Ulrich and Kryukov, Yaroslav (Steve), A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method (March 2008). Available at SSRN: https://ssrn.com/abstract=1141639

Ulrich Doraszelski

Harvard University - Department of Economics ( email )

Littauer Center
Cambridge, MA 02138
United States
617-495-2896 (Phone)
617-495-8570 (Fax)

University of Pennsylvania - Business & Public Policy Department

3641 Locust Walk
Philadelphia, PA 19104-6372
United States

Yaroslav (Steve) Kryukov

Northwestern University - Department of Economics ( email )

2003 Sheridan Road
Evanston, IL 60208
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
9
Abstract Views
588
PlumX Metrics