### Выдержка

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 оригинала | английский |
---|---|

Название основной публикации | Static and Dynamic Game Theory |

Подзаголовок основной публикации | Foundations and Applications |

Издатель | Birkhäuser Verlag AG |

Страницы | 203-237 |

Число страниц | 35 |

Издание | 9780817682613 |

DOI | |

Состояние | Опубликовано - 1 янв 2012 |

### Серия публикаций

Название | Static and Dynamic Game Theory: Foundations and Applications |
---|---|

Номер | 9780817682613 |

ISSN (печатное издание) | 2363-8516 |

ISSN (электронное издание) | 2363-8524 |

### Отпечаток

### Предметные области Scopus

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

### Цитировать

*Static and Dynamic Game Theory: Foundations and Applications*(9780817682613 ред., стр. 203-237). (Static and Dynamic Game Theory: Foundations and Applications; № 9780817682613). Birkhäuser Verlag AG. https://doi.org/10.1007/978-0-8176-8262-0_8

}

*Static and Dynamic Game Theory: Foundations and Applications.*9780817682613 ред., Static and Dynamic Game Theory: Foundations and Applications, № 9780817682613, Birkhäuser Verlag AG, стр. 203-237. https://doi.org/10.1007/978-0-8176-8262-0_8

**Subgame consistent economic optimization under uncertainty.** / Yeung, David W.K.; Petrosyan, Leon A.

Результат исследований: Публикации в книгах, отчётах, сборниках, трудах конференций › глава/раздел

TY - CHAP

T1 - Subgame consistent economic optimization under uncertainty

AU - Yeung, David W.K.

AU - Petrosyan, Leon A.

PY - 2012/1/1

Y1 - 2012/1/1

N2 - 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.

AB - 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.

KW - Cooperative control

KW - Cooperative game

KW - Cooperative strategy

KW - Optimality principle

KW - Stochastic control problem

UR - http://www.scopus.com/inward/record.url?scp=85057554237&partnerID=8YFLogxK

U2 - 10.1007/978-0-8176-8262-0_8

DO - 10.1007/978-0-8176-8262-0_8

M3 - Chapter

AN - SCOPUS:85057554237

T3 - Static and Dynamic Game Theory: Foundations and Applications

SP - 203

EP - 237

BT - Static and Dynamic Game Theory

PB - Birkhäuser Verlag AG

ER -