重复n人随机合作对策的τ-核心

在重复n人随机合作对策中定义了τ-优超的概念,并通过运用τ-优超的概念对重复n人随机合作对策中的核心进行了精炼,即定义了重复n人随机合作对策的τ-核心.最后给出了重复n人随机合作对策τ-核心与核心的关系及τ-核心所满足的性质和特征.     

凸随机合作对策的核心

本文将凸性扩展到随机合作对策中,从而得到凸随机合作对策具有超可加性与非空的核心,且凸随机合作对策的核心满足Minkowski和与Minkowski差.     

重复n人随机合作对策的核心

以Su ijs等人(1995)引入的随机合作对策的模型为基础,建立了重复n人随机合作对策的理论,定义了重复n人随机合作对策的支付序列以及支付序列的优超关系,并由此给出了重复n人随机合作对策的核心、超可加性和凸性的定义,并讨论了该核心的一些特征和性质.     

多目标的随机结盟对策的ZS-值

本文研究的是多目标随机结盟对策的问题，是将单目标的随机结盟对策的ZS-值拓展到多目标的随机结盟对策上，同时考虑了局中人对不同目标的偏好程度，从而，给出了多目标随机结盟对策的ZS-值的定义，并讨论了该值的性质及定理。     

带平稳扰动项的连续时间线性系统的随机微分对策

随机微分对策问题在实际中有很多的应用，该问题要求两个控制变量，一个是使性能指标最小，另一个使之最大。在「１」中给出了不带扰动项的连续时间线性系统的随机微分对策问题的解签。在本文中我们研究了带有平稳扰动项的连续时间线性系统的随机微分对策问题，给出了在此种情况下的随机微分对策公式。     

（m,n）—人主从对策的SP—解

1.引言 本世纪70年代初期,Chen C.I.,Simann M.和Cruz J.B.,Jr,首次把Stackelberg策略概念,引入到对策中来,建立了二人主从对策模型。由于这类对策有广泛的实际背景,因此,主从对策便成为80年代对策论中的一个热门方向。我们在[5]和[6]中提出了有多个“主人”和多个“从人”的(m,n)-人主从对策,并给出了SN-解,S∑-解和SQ-解的概念及其存在条件。     

正则对策的N-M稳定集及其唯一存在定理

研究了有非对称性和负传递性偏好的无限策略对策,提出了N-M稳定集和正则对策的概念,其中N-M稳定集是将合作对策中由Von Neumann 和Morgenstern给出的相应概念引入到策略对策中的.所谓正则对策是指其Nash均衡集中每条链关于一致偏好总有上界的无限策略对策.证明了每个正则对策都有唯一N-M稳定集. 此结果及其应用例子说明正则对策N-M稳定集的概念对于策略对策的纯Nash均衡的精炼起着重要作用.     

广义对称对策的核仁

Schmeidler于1969年提出了核仁的概念,并把它作为合作对策的一种解,同时证明了核仁对每个对策存在唯一,且连续地依赖于对策的特征函数.1977年,Justman运用点到集映射讨论了一般n人合作对策的核仁求解问题.1981年,Dragan从平衡集入手,在理论上给出了通过解一系列线性规划而求出n人合作对策的核仁的一种算法.但是,实际上有效而可行的求解一般合作对策的核仁的算法还没有.然而,也有许多人对某类     

不确定线性微分对策的鲁棒性及设计

由于存在各种干扰、噪声和恶劣环境,以及模型也不应过分精确的实际,所以考虑微分对策的鲁棒性是必然和重要的.主要就微分对策中存在随机干扰和模型本身参数不确定这两类不确定性问题研究其鲁棒对策问题,并给出其相应的解.     

多目标随机结盟对策的区间模糊ZS-值

研究多重目标随机结盟对策问题,引用区间模糊教有关理论,同时考虑局中人参与程度模糊化和支付函数模糊化的情形以及局中人对不同目标的偏好程度,给出多目标随机结盟对策的区间模糊ZS-值的定义及定理.区间模糊ZS-值能更好解决企业合作中存在的不精确数据时的利益分配问题,最后通过一个实例说明其可行性.     

具有随机工资的养老金最优投资问题

在三种目标函数下, 研究了具有随机工资的养老金最优投资问题. 第一种是均值-方差准则, 第二种基于效用的随机微分博弈, 第三种基于均值-方差准则的随机微分博弈. 随机微分博弈问题中博弈的双方为养老金计划投资者和金融市场, 金融市场是博弈的虚拟手. 应用线性二次控制理论求得了三种目标函数下的最优策略和值函数的显式解.     

Stationary,completely mixed and symmetric optimal and equilibrium strategies in stochastic games

In this paper, we address various types of two-person stochastic games—both zero-sum and nonzero-sum, discounted and undiscounted. In particular, we address different aspects of stochastic games, namely: (1) When is a two-person stochastic game completely mixed? (2) Can we identify classes of undiscounted zero-sum stochastic games that have stationary optimal strategies? (3) When does a two-person stochastic game possess symmetric optimal/equilibrium strategies? Firstly, we provide some necessary and some sufficient conditions under which certain classes of discounted and undiscounted stochastic games are completely mixed. In particular, we show that, if a discounted zero-sum switching control stochastic game with symmetric payoff matrices has a completely mixed stationary optimal strategy, then the stochastic game is completely mixed if and only if the matrix games restricted to states are all completely mixed. Secondly, we identify certain classes of undiscounted zero-sum stochastic games that have stationary optima under specific conditions for individual payoff matrices and transition probabilities. Thirdly, we provide sufficient conditions for discounted as well as certain classes of undiscounted stochastic games to have symmetric optimal/equilibrium strategies—namely, transitions are symmetric and the payoff matrices of one player are the transpose of those of the other. We also provide a sufficient condition for the stochastic game to have a symmetric pure strategy equilibrium. We also provide examples to show the sharpness of our results.     

交通网络下的多厂商两阶段随机非合作博弈问题——基于随机变分不等式

研究集生产、运输和销售为一体的多个制造商在随机市场环境下的两阶段随机非合作博弈问题.首先,建立了该两阶段随机非合作博弈问题的模型,然后将其转化为两阶段随机变分不等式(Stochastic Variational Inequality,简称SVI).在温和的假设条件下,证明了该问题存在均衡解,并通过Progressive Hedging Method(简称PHM)进行求解.最后,通过改变模型中随机变量的分布和成本参数,分析与研究厂商的市场行为.     

Stochastic programmed synthesis in a differential game with integral payoff

The problem of assured optimal control of a system subjected to infinite interference is formalized as a positional differential game /1/ in the typical case of integral index of the transient quality, and is solved by the method of stochastic program synthesis /2/, which is further developed in the present paper. An important feature here is the functional nature of the ancilliary stochastic construction considered that enables us to calculate the value of the game as the quality of a properly designed programmed stochastic maximum. Using the known value of the game, the optimal control action is determined using the method of extremal displacement to the so-called accompanying point. The results obtained here open the way for investigating functional game problems of control in irregular cases.     

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??Under inflation influence, this paper investigate a stochastic differential game with reinsurance and investment. Insurance company chose a strategy to minimizing the variance of the final wealth, and the financial markets as a game ``virtual hand' chosen a probability measure represents the economic ``environment' to maximize the variance of the final wealth. Through this double game between the insurance companies and the financial markets, get optimal portfolio strategies. When investing, we consider inflation, the method of dealing with inflation is: Firstly, the inflation is converted to the risky assets, and then constructs the wealth process. Through change the original based on the mean-variance criteria stochastic differential game into unrestricted cases, then application linear-quadratic control theory obtain optimal reinsurance strategy and investment strategy and optimal market strategy as well as the closed form expression of efficient frontier are obtained; finally get reinsurance strategy and optimal investment strategy and optimal market strategy as well as the closed form expression of efficient frontier for the original stochastic differential game.     

A finite step algorithm via a bimatrix game to a single controller non-zero sum stochastic game

Given a non-zero sum discounted stochastic game with finitely many states and actions one can form a bimatrix game whose pure strategies are the pure stationary strategies of the players and whose penalty payoffs consist of the total discounted costs over all states at any pure stationary pair. It is shown that any Nash equilibrium point of this bimatrix game can be used to find a Nash equilibrium point of the stochastic game whenever the law of motion is controlled by one player. The theorem is extended to undiscounted stochastic games with irreducible transitions when the law of motion is controlled by one player. Examples are worked out to illustrate the algorithm proposed.The work of this author was supported in part by the NSF grants DMS-9024408 and DMS 8802260.     

风险的动态定量和一个相关的随机对策问题

本文讨论不完全市场中股票收益率不确定时的动态风险度量问题和一个相关的随机对策问题。该动态风险度量可表示为一个随机最优控制问题的值函数,以倒向随机微分方程为工具我们给出了最优目标具有的形式,并给出随机对策问题上值与下值相等的充分条件和鞍点的存在性。     

Zero-Sum Stochastic Games with Partial Information and Average Payoff

We consider a discrete time partially observable zero-sum stochastic game with average payoff criterion. We study the game using an equivalent completely observable game. We show that the game has a value and also we present a pair of optimal strategies for both the players.