Stochastic differential games: Occupation measure based approach

An error in the proof of Theorem 4.1 of Ref. 1 is corrected.     

Stochastic delay differential equations with jump reflection: invariant measure

In this paper, we consider a class of multi-dimensional stochastic delay differential equations with jump reflection. Based on existence and uniqueness of the strong solution to equation, we prove that the Markov semigroup generated by the segment process corresponding to the solution admits a unique invariant measure on the Skorohod space when the coefficients of equation satisfy a class of monotone conditions. Finally, we establish a relationship between the regulator and the local time of the solution and discuss a local time property at large time under the stationary setting.     

On the Isaacs equation of differential games of fixed duration

The conditions under which the value function of fixed-duration differential games satisfies the Isaacs equation are relaxed.The author thanks Professor L. D. Berkovitz for posing the problem.     

Stochastic differential reinsurance games with capital injections

This paper investigates a class of reinsurance game problems between two insurance companies under the framework of non-zero-sum stochastic differential games. Both insurers can purchase proportional reinsurance contracts from reinsurance markets and have the option of conducting capital injections. We assume the reinsurance premium is calculated under the generalized variance premium principle. The objective of each insurer is to maximize the expected value that synthesizes the discounted utility of his surplus relative to a reference point, the penalties caused by his own capital injection interventions, and the gains brought by capital injections of his competitor. We prove the verification theorem and derive explicit expressions of the Nash equilibrium strategy by solving the corresponding quasi-variational inequalities. Numerical examples are also conducted to illustrate our results.     

On the invariant measure for the quasi‐linear Lasota equation

The problem of the existence of the invariant measure is important considering its connections with chaotic behaviour. In the papers (Zesz. Nauk. Uniw. Jagiellońskiego, Pr. Mat. 1982; 23 :117–123; Ann. Pol. Math. 1983; XLI :129–137; J. Differential Equations 2004; 196 :448–465) the existence of invariant and ergodic measures according to the dynamical system generated by the Lasota equation was proved, i.e. the equation describing the dynamics and becoming different of the population of cells. In this paper, the existence of such measure for the quasi‐linear Lasota equation is proved. This measure is the carriage of the measure described by Dawidowicz (Zesz. Nauk. Uniw. Jagiellońskiego, Pr. Mat. 1982; 23 :117–123). Copyright © 2006 John Wiley & Sons, Ltd.     

Error estimates for stochastic differential games: the adverse stopping case

^** Email: frederic.bonnans{at}inria.fr^*** Email: stefania.maroso{at}inria.fr^**** Email: zidani{at}ensta.fr We obtain error bounds for monotone approximation schemes ofa particular Isaacs equation. This is an extension of the theoryfor estimating errors for the Hamilton–Jacobi–Bellmanequation. To obtain the upper error bound, we consider the ‘Krylovregularization’ of the Isaacs equation to build an approximatesub-solution of the scheme. To get the lower error bound, weextend the method of Barles & Jakobsen (2005, SIAM J. Numer.Anal.) which consists in introducing a switching system whosesolutions are local super-solutions of the Isaacs equation.     

Interactive economic dynamics and differential games

This survey reviews the applications of differential game theory in analyzing issues in the economic literature. The needs of the economic discipline are juxtaposed with the merits of various existing types of differential games. Suggestions are also made as to areas holding great promise for future research.The authors are grateful to Prof. George Leitmann for suggestions to their final draft, which improved the clarity of certain assumptions in keeping with the literature.     

Stochastic differential games with reflection and related obstacle problems for Isaacs equations

In this paper we first investigate zero-sum two-player stochastic differential games with reflection, with the help of theory of Reflected Backward Stochastic Differential Equations (RBSDEs). We will establish the dynamic programming principle for the upper and the lower value functions of this kind of stochastic differential games with reflection in a straightforward way. Then the upper and the lower value functions are proved to be the unique viscosity solutions to the associated upper and the lower Hamilton-Jacobi-Bellman-Isaacs equations with obstacles, respectively. The method differs significantly from those used for control problems with reflection, with new techniques developed of interest on its own. Further, we also prove a new estimate for RBSDEs being sharper than that in the paper of El Karoui, Kapoudjian, Pardoux, Peng and Quenez (1997), which turns out to be very useful because it allows us to estimate the L ^p -distance of the solutions of two different RBSDEs by the p-th power of the distance of the initial values of the driving forward equations. We also show that the unique viscosity solution to the approximating Isaacs equation constructed by the penalization method converges to the viscosity solution of the Isaacs equation with obstacle.     

微分对策中的联盟解

提出时间区间[t_0,∞)上的n人微分对策两阶段联盟解. 在第一阶段不能形成大联盟的假设是自然的,即源于这一思想. 在第一阶段以联盟作为局中人的对策中计算得到其纳什均衡,之后对每个联盟的收益按Shapley值进行分配. 一个n人微分减排模型的例子阐明了上述结果.     

Occupation Measures of Singularly Perturbed Markov Chains with Absorbing States

Abstract This paper develops asymptotic properties of singularly perturbed Markov chains with inclusion of absorbing states. It focuses on both unscaled and scaled occupation measures. Under mild conditions, a mean-square estimate is obtained. By averaging the fast components, we obtain an aggregated process. Although the aggregated process itself may be non-Markovian, its weak limit is a Markov chain with much smaller state space. Moreover, a suitably scaled sequence consisting of a component of scaled occupation measures and a component of the aggregated process is shown to converge to a pair of processes with a switching diffusion component. * The research of this author is supported in part by the National Science Foundation under Grant DMS-9877090 ** The research of this author is supported in part by the Office of Naval Research Grant N00014-96-1-0263 *** The research of this author is supported in part by Wayne State University     

Denumerable state stochastic games with limiting average payoff

We study stochastic games with countable state space, compact action spaces, and limiting average payoff. ForN-person games, the existence of an equilibrium in stationary strategies is established under a certain Liapunov stability condition. For two-person zero-sum games, the existence of a value and optimal strategies for both players are established under the same stability condition.The authors wish to thank Prof. T. Parthasarathy for pointing out an error in an earlier version of this paper. M. K. Ghosh wishes to thank Prof. A. Arapostathis and Prof. S. I. Marcus for their hospitality and support.     

Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration

This paper investigates the impact of relative performance concerns on the longevity risk transfer market. When an insurer concerns about the relative performance in a two-insurer economy, she maximizes the expected utility of her terminal wealth benchmarked against her competitor’s. The problem formulation for a general utility, a general interest rate process and cointegrated mortality rates uses a nonzero sum stochastic differential game approach. Explicit solution of the Nash equilibrium is derived for constant relative risk adverse insurers under the Vasicek-type stochastic interest and mortality rates. Existence and uniqueness of the Nash equilibrium are established for the CIR-type models, which rule out negative interest and mortality rates. While previous studies based on the single-agent approaches have shown a high investment demand in longevity bonds, the launch of it was unsuccessful in reality. Ours supplements that the demand is much lower subject to the relative performance concerns.     

Existence theorems for perturbed abstract measure differential equations

In this paper, an existence result for perturbed abstract measure differential equations is proved via hybrid fixed point theorems of Dhage [B.C. Dhage, On some nonlinear alternatives of Leray-Schauder type and functional integral equations, Arch. Math. (Brno) 42 (2006) 11-23] under the mixed generalized Lipschitz and Carathéodory conditions. The existence of the extremal solutions is also proved under certain monotonicity conditions and using a hybrid fixed point theorem of Dhage given in the above-mentioned reference, on ordered Banach spaces. Our existence results include the existence results of Sharma [R.R. Sharma, An abstract measure differential equation, Proc. Amer. Math. Soc. 32 (1972) 503-510], Joshi [S.R. Joshi, A system of abstract measure delay differential equations, J. Math. Phy. Sci. 13 (1979) 497-506] and Shendge and Joshi [G.R. Shendge, S.R. Joshi, Abstract measure differential inequalities and applications, Acta Math. Hung. 41 (1983) 53-54] as special cases under weaker continuity condition.     

Stochastic differential game model of a common property fishery

The paper presents a stochastic differential game model of a common-property commercial fishery and determines a feedback Nash equilibrium of the game. Closed-form expressions for the value functions, the equilibrium harvesting strategies, and stationary distributions of the fish stock are derived. Sensitivity analyses with respect tot he model parameters are carried out. The paper also considers equilibrium outcomes under joint maximization and surplus maximization. In the latter case, an optimal market size (i.e., number of firms) is identified.The research of the first author was supported in part by Grant 5.20.31.02 from the Danish Research Council for the Social Sciences. The research of the second author was supported in part by the CRGC Fund of the University of Hong Kong. The authors would like to thank the editor for constructive comments.