545 research outputs found
A Numerical Algorithm to find Soft-Constrained Nash Equilibria in Scalar LQ-Games
Get PDFIn this paper we provide a numerical algorithm to calculate all soft-constrained Nash equilibria in a regular scalar indefinite linear-quadratic game.The algorithm is based on the calculation of the eigenstructure of a certain matrix.The analysis follows the lines of the approach taken by Engwerda in [7] to calculate the solutions of a set of scalar coupled feedback Nash algebraic Riccati equations
Calculation of an approximate solution of the infinite time-varying LQ-problem
Get PDFLinear Programming;Algorithm;Optimal Control;operations research
The (in)finite horizon open-loop Nash LQ game: An application to EMU
No full textContains fulltext :
141595.pdf (Publisher’s version ) (Closed access)In this paper, we study macroeconomic stabilization in the Economic and Monetary Union(EMU) using a dynamic games approach. In modeling this problem, it turns out that theplayers include the time derivative of the state variable of the game in their performancecriterion. As far as the authors know, this kind of problem has not before been dealt withrigorously in dynamic games theoretic literature. Therefore, we first consider a generalizationof the linear‐quadratic differential game, in which we allow for cross terms in theperformance criteria. Following the analysis of Engwerda [10,12], we present formulas tocalculate open‐loop Nash equilibria for both the finite‐planning horizon and the infinite‐planninghorizon. Particular attention is paid to computational aspects. In the second part ofthis paper, we use the obtained theoretical results to study macroeconomic stabilization inthe Economic and Monetary Union (EMU).23 p
Performance of Delta-hedging strategies in interval models - A robustness study
Get PDFhedging;volatility;option pricing
Algorithms for Computing Nash Equilibria in Deterministic LQ Games
Get PDFIn this paper we review a number of algorithms to compute Nash equilibria in deterministic linear quadratic differential games.We will review the open-loop and feedback information case.In both cases we address both the finite and the infinite-planning horizon.Algebraic Riccati equations;linear quadratic differential games;Nash equilibria
On the Sensitivity Matrix of the Nash Bargaining Solution
Get PDFIn this note we provide a characterization of a subclass of bargaining problems for which the Nash solution has the property of disagreement point monotonicity.While the original d-monotonicity axiom and its stronger notion, strong d-monotonicity, were introduced and discussed by Thomson [15], this paper introduces local strong d-monotonicity and derives a necessary and sufficient condition for the Nash solution to be locally strong d-monotonic.This characterization is given by using the sensitivity matrix of the Nash bargaining solution w.r.t. the disagreement point d.Moverover, we present a sufficient condition for the Nash solution to be strong d-monotonic.Nash bargaining solution;d-monotonicity;diagonally dominant Stieltjes matrix
On the Sensitivity Matrix of the Nash Bargaining Solution
Get PDFIn this note we derive the sensitivity matrix of the Nash bargaining solution w.r.t. the disagreement point d.This first order derivative is completely specified in terms of the Pareto frontier function.We show that whenever one player increases his threatpoint always at least one player will loose utility: i.e. the dual result of Pareto optimality.Furthermore,the dmonotonicity property is easily re-established from this matrix.This matrix also enables us to consider the concept of local strong d-monotonicity.That is,under which conditions on the Pareto frontier function . an infinitesimal increase of di,while for each j = i, dj remains constant,it happens that agent i is the only one who s payoff increases.We show that for the Nash bargaining solution this question is closely related to non-negativity of the Hamiltonian matrix of . at the solution.Nash bargaining solution;d-monotonicity;diagonally dominant Stieltjes matrix
- …
