Two Different Approaches to Nonzero-Sum Stochastic Differential Games

We make the link between two approaches to Nash equilibria for nonzero-sum stochastic differential games: the first one using backward stochastic differential equations and the second one using strategies with delay. We prove that, when both exist, the two notions of Nash equilibria coincide.     

Generic stability of Nash equilibria for noncooperative differential games

The stability of Nash equilibria against the perturbation of the right-hand side functions of state equations for noncooperative differential games is investigated. By employing the set-valued analysis theory, we show that the differential games whose equilibria are all stable form a dense residual set, and every differential game can be approximated arbitrarily by a sequence of stable differential games, that is, in the sense of Baire’s category most of the differential games are stable.     

Equilibria in a competitive model arising from linear production situations with a common-pool resource

In this paper we deal with linear production situations in which there is a limited common-pool resource, managed by an external agent. The profit that a producer can attain depends on the amount of common-pool resource obtained through a certain procedure. We contemplate a competitive process among the producers and study the corresponding non-cooperative games, describing their (strict) Nash equilibria in pure strategies. It is shown that strict Nash equilibria form a subset of strong Nash equilibria, which in turn form a proper subset of Nash equilibria.     

New Method to Characterize Subgame Perfect Nash Equilibria in Differential Games

In this paper, we present a method for computing Nash equilibria in feedback strategies. This method gives necessary and sufficient conditions to characterize subgame perfect equilibria by means of a system of quasilinear partial differential equations. This characterization allows one to know explicitly the solution of the game in some cases. In other cases, this approach makes a qualitative study easier. We apply this method to nonrenewable resource games.     

Harvesting of a phytoplankton–zooplankton model

Considering that some phytoplankton and zooplankton are harvested for food, a phytoplankton–zooplankton model with harvesting is proposed and investigated. First, stability conditions of equilibria and existence conditions of a Hopf-bifurcation are established. Our results indicate that over exploitation would result in the extinction of the population and an appropriate harvesting strategy should ensure the sustainability of the population which is in line with reality. Furthermore, the existence of bionomic equilibria and the optimal harvesting policy are discussed. The present value of revenues is maximized by using Pontryagin’s maximum principle subject to the state equations and the control constraints. We discussed the case of optimal equilibrium solution. It is found that the shadow prices remain constant over time in optimal equilibrium when they satisfy the transversality condition. It is established that the zero discounting leads to the maximization of economic revenue and that an infinite discount rate leads to complete dissipation of economic rent. Finally, some numerical simulations are given to illustrate our results.     

Optimal Control of State Constrained Integral Equations

We consider the optimal control problem of a class of integral equations with initial and final state constraints, as well as running state constraints. We prove Pontryagin’s principle, and study the continuity of the optimal control and of the measure associated with first order state constraints. We also establish the Lipschitz continuity of these two functions of time for problems with only first order state constraints.     

Linear–quadratic stochastic two-person nonzero-sum differential games: Open-loop and closed-loop Nash equilibria

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.     

Uniqueness of Nash equilibrium for linear-convex stochastic differential games

The uniqueness of Nash equilibria is shown for a class of stochastic differential games where the dynamic constraints are linear in the control variables. The result is applied to an oligopoly.This paper benefitted from comments by two anonymous referees and by L. Blume and C. Simon.     

Some Facts about the Ramsey Model

In modeling the dynamics of capital, the Ramsey equation coupled with the Cobb–Douglas production function is reduced to a linear differential equation by means of the Bernoulli substitution. This equation is used in the optimal growth problem with logarithmic preferences. The study deals with solving the corresponding infinite horizon optimal control problem. We consider a vector field of the Hamiltonian system in the Pontryagin maximum principle, taking into account control constraints. We prove the existence of two alternative steady states, depending on the constraints. This result enriches our understanding of the model analysis in the optimal control framework.     

Bernoulli substitution in the Ramsey model: Optimal trajectories under control constraints

We consider a neoclassical (economic) growth model. A nonlinear Ramsey equation, modeling capital dynamics, in the case of Cobb-Douglas production function is reduced to the linear differential equation via a Bernoulli substitution. This considerably facilitates the search for a solution to the optimal growth problem with logarithmic preferences. The study deals with solving the corresponding infinite horizon optimal control problem. We consider a vector field of the Hamiltonian system in the Pontryagin maximum principle, taking into account control constraints. We prove the existence of two alternative steady states, depending on the constraints. A proposed algorithm for constructing growth trajectories combines methods of open-loop control and closed-loop regulatory control. For some levels of constraints and initial conditions, a closed-form solution is obtained. We also demonstrate the impact of technological change on the economic equilibrium dynamics. Results are supported by computer calculations.     

Necessary quadratic conditions of extremum for discontinuous controls in optimal control problems with mixed constraints

We derive necessary second-order optimality conditions for discontinuous controls in optimal control problems of ordinary differential equations with initial-final state constraints and mixed state-control constraints of equality and inequality type. Under the assumption that the gradients withrespect to the control of active mixed constraints are linearly independent, the necessary conditions follows from a Pontryagin minimum in the problem. Together with sufficient second-order conditions [70], the necessary conditions of the present paper constitute a pair of no-gap conditions.     

State transformations and the derivation of Nash closed-loop equilibria for non-zero-sum differential games

In this paper the usefulness of state transformations in differential games is demonstrated. It is shown that different (admissible) state transformations give rise to different closed-loop Nash equilibrium candidates, which may all be found by solving systems of ordinary differential equations. A linear-quadratic duopoly differential game is solved to illustrate the results.     

Remarks on existence and uniqueness of Cournot–Nash equilibria in the non-potential case

This article is devoted to various methods (optimal transport, fixed-point, ordinary differential equations) to obtain existence and/or uniqueness of Cournot–Nash equilibria for games with a continuum of players with both attractive and repulsive effects. We mainly address separable situations but for which the game does not have a potential, contrary to the variational framework of Blanchet and Carlier (Optimal transport and Cournot–Nash equilibria, 2012). We also present several numerical simulations which illustrate the applicability of our approach to compute Cournot–Nash equilibria.     

An MPCC approach for stochastic Stackelberg–Nash–Cournot equilibrium

In this article, we investigate a Stochastic Stackelberg–Nash–Cournot Equilibrium problem by reformulating it as a Mathematical Program with Complementarity Constraints (MPCC). The complementarity constraints are further reformulated as a system of nonsmooth equations. We characterize the followers’ Nash–Cournot equilibria by studying the implicit solution of a system of equations. We outline numerical methods for the solution of a stochastic Stackelberg–Nash–Cournot Equilibrium problem with finite distribution of market demand scenarios and propose a discretization approach based on implicit numerical integration to deal with stochastic Stackelberg–Nash–Cournot Equilibrium problem with continuous distribution of demand scenarios. Finally, we discuss the two-leader Stochastic Stackelberg–Nash–Cournot Equilibrium problem.     

COMPETITION AND COOPERATION IN A DYNAMICAL MODEL OF NATURAL RESOURCES

Abstract In this paper, we propose a model describing the commercial exploitation of a common renewable resource by a population of strategically interacting agents. Players can cooperate or compete; cooperators maximize the payoff of their group while defectors maximize their own profit. The partition of the players into two groups, defectors and cooperators, results from the players' choices, so it is not predetermined. This partition is decided as a Nash equilibrium of a static game. It is shown that different types of players can exist in an equilibrium; more precisely, depending on the parameter values such as resource stock, cost, and so on, there might be equilibria only with defectors, cooperators, or with a combination of cooperators and defectors. In any case the total harvest depends on the renewable resource stock, so it influences agents' positions. It is assumed that at each time period the agents harvest according to Nash equilibrium, which can be combined with a dynamic model describing the evolution of fish population. A complete analysis of the equilibria is presented and their stability is analysed. The effect of the different Nash equilibria on the stability of the fish stock, showing that full cooperation is the most stable case, is examined.     

Asymptotic Analysis of Linear Feedback Nash Equilibria in Nonzero-Sum Linear-Quadratic Differential Games

In this paper, we discuss nonzero-sum linear-quadratic differential games. For this kind of games, the Nash equilibria for different kinds of information structures were first studied by Starr and Ho. Most of the literature on the topic of nonzero-sum linear-quadratic differential games is concerned with games of fixed, finite duration; i.e., games are studied over a finite time horizon t _f. In this paper, we study the behavior of feedback Nash equilibria for t _f.In the case of memoryless perfect-state information, we study the so-called feedback Nash equilibrium. Contrary to the open-loop case, we note that the coupled Riccati equations for the feedback Nash equilibrium are inherently nonlinear. Therefore, we limit the dynamic analysis to the scalar case. For the special case that all parameters are scalar, a detailed dynamical analysis is given for the quadratic system of coupled Riccati equations. We show that the asymptotic behavior of the solutions of the Riccati equations depends strongly on the specified terminal values. Finally, we show that, although the feedback Nash equilibrium over any fixed finite horizon is generically unique, there can exist several different feedback Nash equilibria in stationary strategies for the infinite-horizon problem, even when we restrict our attention to Nash equilibria that are stable in the dynamical sense.     

广义LQ最优控制问题的极小化序列

将经典LQ问题的评价泛函中关于控制变量的二次型推广为一类偶次多项式,证明了这类广义LQ无约束最优控制问题的一个等价扩张逼近可由一列半径递增的球约束最优控制问题加以实现.进而利用P0ntryagin极值原理建立相应的球约束最优控制问题的二次规划,并通过Canonical倒向微分流及不动点定理,求解常微分方程边值问题,得到球约束最优控制问题的最优值.随着约束球半径趋于无穷大,形成原广义LQ最优控制问题的一个极小化序列,从而得到原问题的最优值.     

Approximations of the nonlinear Volterra's population model by an efficient numerical method

In this paper, we apply the new homotopy perturbation method to solve the Volterra's model for population growth of a species in a closed system. This technique is extended to give solution for nonlinear integro‐differential equation in which the integral term represents the total metabolism accumulated fromtime zero. The approximate analytical procedure only depends on two components. The newhomotopy perturbationmethodwas applied to nonlinear integro‐differential equations directly and by converting the problem into nonlinear ordinary differential equation. We also compare this method with some other numerical results and show that the present approach is less computational and is applicable for solving nonlinear integro‐differential equations and ordinary differential equations as well. Copyright © 2011 John Wiley & Sons, Ltd.     

A Qualitative Characterization of Symmetric Open-Loop Nash Equilibria in Discounted Infinite Horizon Differential Games

The local stability, steady state comparative statics, and local comparative dynamics of symmetric open-loop Nash equilibria for the ubiquitous class of discounted infinite horizon differential games are investigated. It is shown that the functional forms and values of the parameters specified in a differential game are crucial in determining the local stability of a steady state and, in turn, the steady state comparative statics and local comparative dynamics. A simple sufficient condition for a steady state to be a local saddle point is provided. The power and reach of the results are demonstrated by applying them to two well-known differential games.