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- W2531344110 abstract "Summary This paper aims to characterize a class of stochastic differential games, which satisfy the certainty equivalence principle beyond the cases with quadratic, linear, or logarithmic value functions. We focus on scalar games with linear dynamics in the players' strategies and with separable payoff functionals. Our results are based on the resolution of an inverse problem that determines strictly concave utility functions of the players so that the game satisfies the certainty equivalence principle. Besides establishing necessary and sufficient conditions, the results obtained in this paper are also a tool for discovering new closed‐form solutions, as we show in two specific applications: in a generalization of a dynamic advertising model and in a game of noncooperative exploitation of a productive asset." @default.
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- W2531344110 date "2019-03-08" @default.
- W2531344110 modified "2023-10-16" @default.
- W2531344110 title "Certainty equivalence principle in stochastic differential games: An inverse problem approach" @default.
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- W2531344110 doi "https://doi.org/10.1002/oca.2494" @default.
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