Solving nonlinear dynamic games via orthogonal collocation: An appliction to international commodity markets

Solving nonlinear dynamic games via orthogonal collocation: An appliction to international commodity markets

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Article ID: iaor19972037
Country: Netherlands
Volume: 68
Issue: 1
Start Page Number: 89
End Page Number: 108
Publication Date: Nov 1996
Journal: Annals of Operations Research
Authors: ,
Keywords: programming: dynamic, inventory: storage, storage
Abstract:

The authors develop methods for solving nonlinear stochastic dynamic difference games using orthogonal polynomial collocation techniques. The methods are applied to models of world commodity markets in which governments compete against each other using storage as a strategy variable. The rational expectations equilibrium outcomes under four different game structures are derived numerically and compared using stochastic simulation techniques.

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