Subgame consistent economic optimization under uncertainty

David W.K. Yeung, Leon A. Petrosyan

Результат исследований: Публикации в книгах, отчётах, сборниках, трудах конференцийглава/разделнаучнаярецензирование

Аннотация

In many economic problems, uncertainty prevails. An essential characteristic of time—and hence decision making over time—is that though the individual may, through the expenditure of resources, gather past and present information, the future is inherently unknown and therefore (in the mathematical sense) uncertain. There is no escape from this fact, regardless of what resources the individual should choose to devote to obtaining data, information, and to forecasting. An empirically meaningful theory must therefore incorporate time-uncertainty in an appropriate manner. This development establishes a framework or paradigm for modeling game-theoretic situations with stochastic dynamics and uncertain environments over time. Again, the noncooperative stochastic differential games discussed in Chap. 2 fail to reflect all the facets of optimal behavior in n-person market games. Therefore cooperative optimization will generally lead to improved outcomes. Moreover, similar to cooperative differential game solutions, dynamically stable solutions of cooperative stochastic differential games have to be consistent over time. In the presence of stochastic elements, a very stringent condition—that of subgame consistency—is required for a credible cooperative solution. In particular, the optimality principle agreed upon at the outset must remain effective in any subgame starting at a later time with a realizable state brought about by prior optimal behavior.

Язык оригиналаанглийский
Название основной публикацииStatic and Dynamic Game Theory
Подзаголовок основной публикацииFoundations and Applications
ИздательBirkhäuser Verlag AG
Страницы203-237
Число страниц35
Издание9780817682613
DOI
СостояниеОпубликовано - 1 янв 2012

Серия публикаций

НазваниеStatic and Dynamic Game Theory: Foundations and Applications
Номер9780817682613
ISSN (печатное издание)2363-8516
ISSN (электронное издание)2363-8524

Предметные области Scopus

  • Статистика, теория вероятности и теория неопределенности
  • Теория вероятности и статистика
  • Прикладная математика

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