Standard

Subgame consistent cooperative solutions in stochastic differential games. / Petrosjan, L.A.; Yeung, D.W.K.

в: J. of optimization theory and applications, Том 120, № 3, 03.2004, стр. 651-666.

Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование

Harvard

Petrosjan, LA & Yeung, DWK 2004, 'Subgame consistent cooperative solutions in stochastic differential games', J. of optimization theory and applications, Том. 120, № 3, стр. 651-666. https://doi.org/10.1023/B:JOTA.0000025714.04164.e4

APA

Petrosjan, L. A., & Yeung, D. W. K. (2004). Subgame consistent cooperative solutions in stochastic differential games. J. of optimization theory and applications, 120(3), 651-666. https://doi.org/10.1023/B:JOTA.0000025714.04164.e4

Vancouver

Petrosjan LA, Yeung DWK. Subgame consistent cooperative solutions in stochastic differential games. J. of optimization theory and applications. 2004 Март;120(3):651-666. https://doi.org/10.1023/B:JOTA.0000025714.04164.e4

Author

Petrosjan, L.A. ; Yeung, D.W.K. / Subgame consistent cooperative solutions in stochastic differential games. в: J. of optimization theory and applications. 2004 ; Том 120, № 3. стр. 651-666.

BibTeX

@article{6bb94077f56b436c9b1a51b2fd57bbdf,
title = "Subgame consistent cooperative solutions in stochastic differential games",
abstract = "Subgame consistency is a fundamental element in the solution of cooperative stochastic differential games. In particular, it ensures that: (i) the extension of the solution policy to a later starting time and to any possible state brought about by the prior optimal behavior of the players would remain optimal; (ii) all players do not have incentive to deviate from the initial plan. In this paper, we develop a mechanism for the derivation of the payoff distribution procedures of subgame consistent solutions in stochastic differential games with transferable payoffs. The payoff distribution procedure of the subgame consistent solution can be identified analytically under different optimality principles. Demonstration of the use of the technique for specific optimality principles is shown with an explicitly solvable game. For the first time, analytically tractable solutions of cooperative stochastic differential games with subgame consistency are derived.",
keywords = "stochastic differential games, cooperative solutions, subgame consistency, dynamic stability",
author = "L.A. Petrosjan and D.W.K. Yeung",
year = "2004",
month = mar,
doi = "10.1023/B:JOTA.0000025714.04164.e4",
language = "Английский",
volume = "120",
pages = "651--666",
journal = "Journal of Optimization Theory and Applications",
issn = "0022-3239",
publisher = "Springer Nature",
number = "3",

}

RIS

TY - JOUR

T1 - Subgame consistent cooperative solutions in stochastic differential games

AU - Petrosjan, L.A.

AU - Yeung, D.W.K.

PY - 2004/3

Y1 - 2004/3

N2 - Subgame consistency is a fundamental element in the solution of cooperative stochastic differential games. In particular, it ensures that: (i) the extension of the solution policy to a later starting time and to any possible state brought about by the prior optimal behavior of the players would remain optimal; (ii) all players do not have incentive to deviate from the initial plan. In this paper, we develop a mechanism for the derivation of the payoff distribution procedures of subgame consistent solutions in stochastic differential games with transferable payoffs. The payoff distribution procedure of the subgame consistent solution can be identified analytically under different optimality principles. Demonstration of the use of the technique for specific optimality principles is shown with an explicitly solvable game. For the first time, analytically tractable solutions of cooperative stochastic differential games with subgame consistency are derived.

AB - Subgame consistency is a fundamental element in the solution of cooperative stochastic differential games. In particular, it ensures that: (i) the extension of the solution policy to a later starting time and to any possible state brought about by the prior optimal behavior of the players would remain optimal; (ii) all players do not have incentive to deviate from the initial plan. In this paper, we develop a mechanism for the derivation of the payoff distribution procedures of subgame consistent solutions in stochastic differential games with transferable payoffs. The payoff distribution procedure of the subgame consistent solution can be identified analytically under different optimality principles. Demonstration of the use of the technique for specific optimality principles is shown with an explicitly solvable game. For the first time, analytically tractable solutions of cooperative stochastic differential games with subgame consistency are derived.

KW - stochastic differential games

KW - cooperative solutions

KW - subgame consistency

KW - dynamic stability

U2 - 10.1023/B:JOTA.0000025714.04164.e4

DO - 10.1023/B:JOTA.0000025714.04164.e4

M3 - статья

VL - 120

SP - 651

EP - 666

JO - Journal of Optimization Theory and Applications

JF - Journal of Optimization Theory and Applications

SN - 0022-3239

IS - 3

ER -

ID: 5107887