Advances In Dynamic Games: Applications To Economics, Finance, Optimization, And Stochastic Control

by Nowak, Andrzej S.; SZAJOWSKI, KRZYSZTOF; INTERNATIONAL SYMPOSIUM OF DYNAMIC GAMES

• ISBN13: 9780817643621
• ISBN10: 0817643621
• Format: Hardcover
• Copyright: 2004-12-01
• Publisher: Springer Verlag

Summary

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 and its applications. The selected chapters, written by experts in their respective disciplines, are an outgrowth of presentations originally given at the 9th International Symposium of Dynamic Games and Applications. Featured throughout are useful tools for researchers and practitioners who use game theory for modeling in many disciplines.Major topics covered include:* repeated and stochastic games* differential dynamic games* optimal stopping games* applications of dynamic games to economics, finance, and queuing theory* numerical methods and algorithms for solving dynamic games* Parrondo's games and related topicsA valuable reference for practitioners and researchers in dynamic game theory, the book and its diverse applications will also benefit researchers and graduate students in applied mathematics, economics, engineering, systems and control, and environmental science.

Table of Contents

Preface	ix
Contributors	xi
Part I Repeated and Stochastic Games
Information and the Existence of Stationary Markovian Equilibrium	3	(18)
Ioannis Karatzas, Martin Shubik and William D. Sudderth
Markov Games under a Geometric Drift Condition	21	(18)
Heinz-Uwe Küenle
A Simple Two-Person Stochastic Game with Money	39	(28)
Piercesare Secchi and William D. Sudderth
New Approaches and Recent Advances in Two-Person Zero-Sum Repeated Games	67	(28)
Sylvain Sorin
Notes on Risk-Sensitive Nash Equilibria	95	(16)
Andrzej S. Nowak
Continuous Convex Stochastic Games of Capital Accumulation	111	(18)
Piotr Wiecek
Part II Differential Dynamic Games
Dynamic Core of Fuzzy Dynamical Cooperative Games	129	(34)
Jean-Pierre Aubin
Normalized Overtaking Nash Equilibrium for a Class of Distributed Parameter Dynamic Games	163	(20)
Dean A. Carlson
Cooperative Differential Games	183	(20)
Leon A. Petrosjan
Part III Stopping Games
Selection by Committee	203	(8)
Thomas S. Ferguson
Stopping Game Problem for Dynamic Fuzzy Systems	211	(12)
Yuji Yoshida, Masami Yasuda, Masami Kurano and Jun-ichi Nakagami
On Randomized Stopping Games	223	(12)
Elzbieta Z. Ferenstein
Stopping Games - Recent Results	235	(12)
Eilon Solan and Nicolas Vieille
Dynkin's Games with Randomized Optimal Stopping Rules	247	(16)
Victor Domansky
Modified Strategies in a Competitive Best Choice Problem with Random Priority	263	(8)
Zdzislaw Porosinski
Bilateral Approach to the Secretary Problem	271	(14)
David Ramsey and Krzysztof Szajowski
Optimal Stopping Games where Players have Weighted Privilege	285	(10)
Minoru Sakaguchi
Equilibrium in an Arbitration Procedure	295	(14)
Vladimir V. Mazalov and Anatoliy A. Zabelin
Part IV Applications of Dynamic Games to Economics, Finance and Queuing Theory
Applications of Dynamic Games in Queues	309	(34)
Eitan Altman
Equilibria for Multiclass Routing Problems in Multi-Agent Networks	343	(26)
Eitan Altman and Hisao Kameda
Endogenous Shocks and Evolutionary Strategy: Application to a Three-Players Game	369	(22)
Ekkehard C. Ernst, Bruno Amable and Stefano Palombarini
Robust Control Approach to Option Pricing, Including Transaction Costs	391	(26)
Pierre Bernhard
S-Adapted Equilibria in Games Played over Event Trees: An Overview	417	(28)
Alain Haurie and Georges Zaccour
Existence of Nash Equilibria in Endogenous Rent-Seeking Games	445	(10)
Koji Okuguchi
A Dynamic Game with Continuum of Players and its Counterpart with Finitely Many Players	455	(18)
Agnieszka Wiszniewska-Matyszkiel
Part V Numerical Methods and Algorithms for Solving Dynamic Games
Distributed Algorithms for Nash Equilibria of Flow Control Games	473	(26)
Tansu Alpcan and Tamer Basar
A Taylor Series Expansion for Hinfinity Control of Perturbed Markov Jump Linear Systems	499	(16)
Rachid El Azouzi, Eitan Altman and Mohammed Abbad
Advances in Parallel Algorithms for the Isaacs Equation	515	(30)
Maurizio Falcone and Paolo Stefani
Numerical Algorithm for Solving Cross-Coupled Algebraic Riccati Equations of Singularly Perturbed Systems	545	(26)
Hiroaki Mukaidani, Hua Xu and Koichi Mizukami
Equilibrium Selection via Adaptation: Using Genetic Programming to Model Learning in a Coordination Game	571	(28)
Shu-Heng Chen, John Duffy and Chia-Hsuan Yeh
Two Issues Surrounding Parrondo's Paradox	599	(14)
Andre Costa, Mark Fackrell and Peter G. Taylor
Part VI Parrondo's Games and Related Topics
State-Space Visualization and Fractal Properties of Parrondo's Games	613	(22)
Andrew Allison, Derek Abbott and Charles Pearce
Parrondo's Capital and History-Dependent Games	635	(14)
Gregory P. Harmer, Derek Abbott and Juan M.R. Parrondo
Introduction to Quantum Games and a Quantum Parrondo Game	649	(18)
Joseph Ng and Derek Abbott
A Semi-quantum Version of the Game of Life	667
Adrian P. Flitney and Derek Abbott