Please use this identifier to cite or link to this item:
http://hdl.handle.net/20.500.11861/6591
Title: | Generalized dynamic games with durable strategies under uncertain planning horizon |
Authors: | Prof. YEUNG Wing Kay, David Petrosyan, Leon A. |
Issue Date: | 2021 |
Source: | Journal of Computational and Applied Mathematics, Oct. 2021, vol. 395, no. 113595. |
Journal: | Journal of Computational and Applied Mathematics |
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. |
Type: | Peer Reviewed Journal Article |
URI: | http://hdl.handle.net/20.500.11861/6591 |
ISSN: | 0377-0427 |
DOI: | 10.1016/j.cam.2021.113595 |
Appears in Collections: | Economics and Finance - Publication |
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