Abstract
This paper aims to characterize a class of stochastic differential games which satisfy the certainty equivalence principle. This means that the Markov Perfect Nash Equilibrium is also an equilibrium of the associated deterministic game. By focusing on a model scalar game with linear dynamics in the players’ strategies, we solve an inverse problem to find strictly concave utility functions, not necessarily quadratic or logarithmic, for which certainty equivalence is fulfilled. We show a variety of models that satisfy the certainty equivalence principle in a non cooperative game of a productive asset.
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