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: Oct-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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