共查询到10条相似文献,搜索用时 125 毫秒
1.
Li-Hsien Sun 《Journal of Optimization Theory and Applications》2018,179(2):400-424
We propose a simple model of the banking system incorporating a game feature, where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The optimization reflects the desire of each bank to borrow from or lend to a central bank through manipulating its lending preference and the intention of each bank to deposit in the central bank in order to control the reserve and the corresponding volatility for cost minimization. The Markov Nash equilibrium for finite many players generated by minimizing the linear quadratic cost subject to Cox–Ingersoll–Ross type processes creates liquidity and deposit rate. The adding liquidity leads to a flocking effect implying stability or systemic risk depending on the level of the growth rate, but the deposit rate diminishes the growth of the total monetary reserve causing a large number of bank defaults. The central bank acts as a central deposit corporation. In addition, the corresponding mean field game in the case of the number of banks N large and the infinite time horizon stochastic game with the discount factor are also discussed. 相似文献
2.
In this paper, we consider a linear–quadratic stochastic two-person nonzero-sum differential game. Open-loop and closed-loop Nash equilibria are introduced. The existence of the former is characterized by the solvability of a system of forward–backward stochastic differential equations, and that of the latter is characterized by the solvability of a system of coupled symmetric Riccati differential equations. Sometimes, open-loop Nash equilibria admit a closed-loop representation, via the solution to a system of non-symmetric Riccati equations, which could be different from the outcome of the closed-loop Nash equilibria in general. However, it is found that for the case of zero-sum differential games, the Riccati equation system for the closed-loop representation of an open-loop saddle point coincides with that for the closed-loop saddle point, which leads to the conclusion that the closed-loop representation of an open-loop saddle point is the outcome of the corresponding closed-loop saddle point as long as both exist. In particular, for linear–quadratic optimal control problem, the closed-loop representation of an open-loop optimal control coincides with the outcome of the corresponding closed-loop optimal strategy, provided both exist. 相似文献
3.
Hu Ying 《Applied Mathematics and Optimization》1991,24(1):257-271
In this paper the problem ofN-person infinite-dimensional stochastic differential games governed by semilinear stochastic evolution control systems is discussed. First the minimax principle which is the necessary condition for the existence of open-loop Nash equilibrium is proved. Then the necessary and sufficient conditions of open-loop and closed-loop Nash equilibrium for linear quadratic infinite-dimensional stochastic differential games are derived. 相似文献
4.
Kristina Rognlien Dahl 《随机分析与应用》2020,38(4):708-729
AbstractThe goal of this paper is to study a stochastic game connected to a system of forward-backward stochastic differential equations (FBSDEs) involving delay and noisy memory. We derive sufficient and necessary maximum principles for a set of controls for the players to be a Nash equilibrium in the game. Furthermore, we study a corresponding FBSDE involving Malliavin derivatives. This kind of equation has not been studied before. The maximum principles give conditions for determining the Nash equilibrium of the game. We use this to derive a closed form Nash equilibrium for an economic model where the players maximize their consumption with respect to recursive utility. 相似文献
5.
In this paper, we will study an indefinite stochastic linear quadratic optimal control problem, where the controlled system is described by a stochastic differential equation with delay. By introducing the relaxed compensator as a novel method, we obtain the well-posedness of this linear quadratic problem for indefinite case. And then, we discuss the uniqueness and existence of the solutions for a kind of anticipated forward–backward stochastic differential delayed equations. Based on this, we derive the solvability of the corresponding stochastic Hamiltonian systems, and give the explicit representation of the optimal control for the linear quadratic problem with delay in an open-loop form. The theoretical results are validated as well on the control problems of engineering and economics under indefinite condition. 相似文献
6.
7.
In this note, we consider the non-cooperative linear feedback Nash quadratic differential game with an infinite planning horizon. The performance function is assumed to be indefinite and the underlying system affine. We derive both necessary and sufficient conditions under which this game has a Nash equilibrium. As a special case, we derive existence conditions for the multi-player zero-sum game. 相似文献
8.
Qian Lin 《Stochastic Processes and their Applications》2012,122(1):357-385
In this paper, we study Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games via the theory of backward stochastic differential equations. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games with nonlinear cost functionals defined with the help of doubly controlled backward stochastic differential equations. Our results extend former ones by Buckdahn et al. (2004) [3] and are based on a backward stochastic differential equation approach. 相似文献
9.
Yanfang Zhang 《计算数学(英文版)》2023,41(3):415-436
In this paper, we consider the generalized Nash equilibrium with shared constraints in the stochastic environment, and we call it the stochastic generalized Nash equilibrium. The stochastic variational inequalities are employed to solve this kind of problems, and the expected residual minimization model and the conditional value-at-risk formulations defined by the residual function for the stochastic variational inequalities are discussed. We show the risk for different kinds of solutions for the stochastic generalized Nash equilibrium by the conditional value-at-risk formulations. The properties of the stochastic quadratic generalized Nash equilibrium are shown. The smoothing approximations for the expected residual minimization formulation and the conditional value-at-risk formulation are employed. Moreover, we establish the gradient consistency for the measurable smoothing functions and the integrable functions under some suitable conditions, and we also analyze the properties of the formulations. Numerical results for the applications arising from the electricity market model illustrate that the solutions for the stochastic generalized Nash equilibrium given by the ERM model have good properties, such as robustness, low risk and so on. 相似文献
10.
The authors discuss one type of general forward-backward stochastic differential
equations (FBSDEs) with It?o’s stochastic delayed equations as the forward equations and
anticipated backward stochastic differential equations as the backward equations. The
existence and uniqueness results of the general FBSDEs are obtained. In the framework
of the general FBSDEs in this paper, the explicit form of the optimal control for linearquadratic
stochastic optimal control problem with delay and the Nash equilibrium point
for nonzero sum differential games problem with delay are obtained. 相似文献