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: | Rui Xiongwen, Miranda Mario J. |
Keywords: | programming: dynamic, inventory: storage, storage |
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.