Non Zero Sum Stopping Games In Discrete Time
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Non Zero Sum Stopping Games In Discrete Time
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Author : Zhou Zhou
language : en
Publisher:
Release Date : 2015
Non Zero Sum Stopping Games In Discrete Time written by Zhou Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We consider two-player non-zero-sum stopping games in discrete time. Unlike Dynkin games, in our games the payoff of each player is revealed after both players stop. Moreover, each player can adjust her own stopping strategy according to the other player's action. In the first part of the paper, we consider the game where players act simultaneously at each stage. We show that there exists a Nash equilibrium in mixed stopping strategies. In the second part, we assume that one player has to act first at each stage. In this case, we show the existence of a Nash equilibrium in pure stopping strategies. Our results have a lot of applications, e.g., when companies choose times to enter the market, or when investors who both long and short American options choose times to exercise the options.
Two Player Non Zero Sum Stopping Games In Discrete Time
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Author : Eran Shmaya
language : en
Publisher:
Release Date : 2002
Two Player Non Zero Sum Stopping Games In Discrete Time written by Eran Shmaya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Continuous Time Stopping Games Classic Reprint
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Author : Chi-Fu Huang
language : en
Publisher:
Release Date : 2016-06-27
Continuous Time Stopping Games Classic Reprint written by Chi-Fu Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-27 with Mathematics categories.
Excerpt from Continuous Time Stopping Games This paper presents the theoretic findings on the continuous time version of the general stopping games. The game theoretic extension of the optimal stopping theory in the discrete time framework was initiated by Dynkin [1969] in analysis of a class of two - person zero - sum stopping games. The modifications and extensions include Chaput [1974] in zero-sum stopping games and Mamer [1986] in two-person nonzero-sum stopping monotone games. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Continuous Time Stopping Games With Monotone Reward Structures Classic Reprint
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Author : Chi-Fu Huang
language : en
Publisher: Forgotten Books
Release Date : 2017-12-16
Continuous Time Stopping Games With Monotone Reward Structures Classic Reprint written by Chi-Fu Huang and has been published by Forgotten Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-16 with Mathematics categories.
Excerpt from Continuous Time Stopping Games With Monotone Reward Structures The existing literature on continuous time non-zero - sum stopping games mentioned above, with the exception of Morimoto uses stochastic environments that have the Markov property. Morimoto [1986] considers cyclic stopping games. The purpose of this paper is to provide an existence theorem for Nash equilibria for a class of non-zero-sum non-cyclic stopping games in a non-markov environment. We basically extend the discrete time analysis of Mamer [1987] to a continuous time setting. Some properties of a symmetric Nash equilibrium are also characterized. The rest of this paper is organized as follows. In Section 2 we formulate an N - person continuous time non-zero - sum stopping game. Reward processes are optional processes that may be unbounded and can take the value - 00 at t +00. A martingale approach is adopted in Section 3 to show the existence of optimal stopping policies of players under fairly general conditions. The existence of a Nash equilibrium in games with monotone payoff structures is proved in Section 4 by using Tarski's lattice theoretic fixed point theorem. We show in the same section that, for a symmetric stopping game, there always exists a symmetric equilibrium when the reward processes satisfy a monotone condition. Moreover, a symmetric equilibrium. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Non Zero Sum Stopping Games In Continuous Time
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Author : Zhou Zhou
language : en
Publisher:
Release Date : 2015
Non Zero Sum Stopping Games In Continuous Time written by Zhou Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We consider a two-player non-zero-sum stopping game in which the payoff of each player is revealed when both players stop, instead of it being revealed after the first player's stopping time. Such problems appear in the context of economics and finance, e.g., when two company try to choose good times to enter or leave the market, or when two investors try to maximize their own utilities in the case that each player sells one American option to the other.
Nonzero Sum Optimal Stopping Games With Applications In Mathematical Finance
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Author : Natalie Attard
language : en
Publisher:
Release Date : 2017
Nonzero Sum Optimal Stopping Games With Applications In Mathematical Finance written by Natalie Attard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
A Course In Stochastic Game Theory
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Author : Eilon Solan
language : en
Publisher: Cambridge University Press
Release Date : 2022-05-26
A Course In Stochastic Game Theory written by Eilon Solan and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-26 with Business & Economics categories.
This book for beginning graduate students presents a course on stochastic games and the mathematical methods used in their analysis.
Advances In Dynamic Games
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Author : Andrzej S. Nowak
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-24
Advances In Dynamic Games written by Andrzej S. Nowak and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-24 with Business & Economics categories.
This book focuses on various aspects of dynamic game theory, presenting state-of-the-art research and serving as a guide to the vitality and growth of the field. A valuable reference for researchers and practitioners in dynamic game theory, it covers a broad range of topics and applications, including repeated and stochastic games, differential dynamic games, optimal stopping games, and numerical methods and algorithms for solving dynamic games. The diverse topics included will also benefit researchers and graduate students in applied mathematics, economics, engineering, systems and control, and environmental science.
Adaptive Dynamic Programming For Control
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Author : Huaguang Zhang
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-14
Adaptive Dynamic Programming For Control written by Huaguang Zhang and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-14 with Technology & Engineering categories.
There are many methods of stable controller design for nonlinear systems. In seeking to go beyond the minimum requirement of stability, Adaptive Dynamic Programming in Discrete Time approaches the challenging topic of optimal control for nonlinear systems using the tools of adaptive dynamic programming (ADP). The range of systems treated is extensive; affine, switched, singularly perturbed and time-delay nonlinear systems are discussed as are the uses of neural networks and techniques of value and policy iteration. The text features three main aspects of ADP in which the methods proposed for stabilization and for tracking and games benefit from the incorporation of optimal control methods: • infinite-horizon control for which the difficulty of solving partial differential Hamilton–Jacobi–Bellman equations directly is overcome, and proof provided that the iterative value function updating sequence converges to the infimum of all the value functions obtained by admissible control law sequences; • finite-horizon control, implemented in discrete-time nonlinear systems showing the reader how to obtain suboptimal control solutions within a fixed number of control steps and with results more easily applied in real systems than those usually gained from infinite-horizon control; • nonlinear games for which a pair of mixed optimal policies are derived for solving games both when the saddle point does not exist, and, when it does, avoiding the existence conditions of the saddle point. Non-zero-sum games are studied in the context of a single network scheme in which policies are obtained guaranteeing system stability and minimizing the individual performance function yielding a Nash equilibrium. In order to make the coverage suitable for the student as well as for the expert reader, Adaptive Dynamic Programming in Discrete Time: • establishes the fundamental theory involved clearly with each chapter devoted to a clearly identifiable control paradigm; • demonstrates convergence proofs of the ADP algorithms to deepen understanding of the derivation of stability and convergence with the iterative computational methods used; and • shows how ADP methods can be put to use both in simulation and in real applications. This text will be of considerable interest to researchers interested in optimal control and its applications in operations research, applied mathematics computational intelligence and engineering. Graduate students working in control and operations research will also find the ideas presented here to be a source of powerful methods for furthering their study.
Frontiers Of Dynamic Games
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Author : Leon A. Petrosyan
language : en
Publisher: Springer
Release Date : 2018-07-17
Frontiers Of Dynamic Games written by Leon A. Petrosyan and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-17 with Mathematics categories.
This volume collects contributions from the talks given at the Game Theory and Management Conference held in St. Petersburg, Russia, in June 2017. It covers a wide spectrum of topics, among which are: game theory and management applications in fields such as: strategic management, industrial organization, marketing, operations and supply chain management, public management, financial management, human resources, energy and resource management, and others; cooperative games; dynamic games; evolutionary games; stochastic games.