NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Avoiding the Curse of Dimensionality in Dynamic Stochastic Games

Ulrich Doraszelski, Kenneth L. Judd

NBER Technical Working Paper No. 304
Issued in January 2005
NBER Program(s):   TWP

Continuous-time stochastic games with a finite number of states have substantial computational and conceptual advantages over the more common discrete-time model. In particular, continuous time avoids a curse of dimensionality and speeds up computations by orders of magnitude in games with more than a few state variables. The continuous-time approach opens the way to analyze more complex and realistic stochastic games than is feasible in discrete-time models.

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Document Object Identifier (DOI): 10.3386/t0304

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