Generalized dynamic games with durable strategies under uncertain planning horizon

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Generalized dynamic games with durable strategies under uncertain planning horizon. / Yeung, David W.K.; Petrosyan, Leon A.

In: Journal of Computational and Applied Mathematics, Vol. 395, 113595, 15.10.2021.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{26635a8243ae480aa894c58e3026864d,

title = "Generalized dynamic games with durable strategies under uncertain planning horizon",

abstract = "This paper establishes a new class of dynamic games which incorporates two frequently observed real-life phenomena — durable strategies and uncertain horizon. In the presence of durable strategies and random horizon, significant modification of the dynamic optimization techniques is required to accommodate these phenomena. A novel dynamic optimization theorem is developed and a new set of equations characterizing a non-cooperative game equilibrium is derived. A subgame consistent solution for the cooperative game counterpart is obtained with a new theorem for the derivation of a payoff distribution procedure under random horizon and durable strategies. A number of new application results in dynamic games are derived to reflect practical considerations in making decision. Computational illustrations in an application involving a dynamic interactive investments game are provided.",

keywords = "Durable strategies, Dynamic games, Dynamic optimization, Non-cooperative game equilibrium, Random horizon, Subgame consistent solution, NUMERICAL-SOLUTION, LAGS, MAXIMUM PRINCIPLE, SYSTEMS",

author = "Yeung, {David W.K.} and Petrosyan, {Leon A.}",

year = "2021",

month = oct,

day = "15",

doi = "10.1016/j.cam.2021.113595",

language = "English",

volume = "395",

journal = "Journal of Computational and Applied Mathematics",

issn = "0377-0427",

publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Generalized dynamic games with durable strategies under uncertain planning horizon

AU - Yeung, David W.K.

AU - Petrosyan, Leon A.

PY - 2021/10/15

Y1 - 2021/10/15

N2 - This paper establishes a new class of dynamic games which incorporates two frequently observed real-life phenomena — durable strategies and uncertain horizon. In the presence of durable strategies and random horizon, significant modification of the dynamic optimization techniques is required to accommodate these phenomena. A novel dynamic optimization theorem is developed and a new set of equations characterizing a non-cooperative game equilibrium is derived. A subgame consistent solution for the cooperative game counterpart is obtained with a new theorem for the derivation of a payoff distribution procedure under random horizon and durable strategies. A number of new application results in dynamic games are derived to reflect practical considerations in making decision. Computational illustrations in an application involving a dynamic interactive investments game are provided.

AB - This paper establishes a new class of dynamic games which incorporates two frequently observed real-life phenomena — durable strategies and uncertain horizon. In the presence of durable strategies and random horizon, significant modification of the dynamic optimization techniques is required to accommodate these phenomena. A novel dynamic optimization theorem is developed and a new set of equations characterizing a non-cooperative game equilibrium is derived. A subgame consistent solution for the cooperative game counterpart is obtained with a new theorem for the derivation of a payoff distribution procedure under random horizon and durable strategies. A number of new application results in dynamic games are derived to reflect practical considerations in making decision. Computational illustrations in an application involving a dynamic interactive investments game are provided.

KW - Durable strategies

KW - Dynamic games

KW - Dynamic optimization

KW - Non-cooperative game equilibrium

KW - Random horizon

KW - Subgame consistent solution

KW - NUMERICAL-SOLUTION

KW - LAGS

KW - MAXIMUM PRINCIPLE

KW - SYSTEMS

UR - http://www.scopus.com/inward/record.url?scp=85104674782&partnerID=8YFLogxK

U2 - 10.1016/j.cam.2021.113595

DO - 10.1016/j.cam.2021.113595

M3 - Article

AN - SCOPUS:85104674782

VL - 395

JO - Journal of Computational and Applied Mathematics

JF - Journal of Computational and Applied Mathematics

SN - 0377-0427

M1 - 113595

ER -

ID: 76959431