Bankruptcy games

Bankruptcy problems are considered from a game theoretic point of view. Solution concepts from cooperative game theory are studied for bankruptcy games. A necessary and sufficient condition for a division rule for bankruptcy problems to be a game theoretic rule is given. A new division rule which is an adjustment of the proportional rule is given. This rule coincides with theT-value for bankruptcy games. Properties of the new rule are treated and a set of characterizing properties is given.

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Zusammenfassung In dieser Arbeit werden Bankrottprobleme von spieltheoretischer Warte aus behandelt; insbesondere werden Lösungskonzepte der kooperativen Spieltheorie für Bankrottspiele untersucht. Eine notwendige und hinreichende Bedingung wird angegeben dafür, Daß eine Aufteilungsregel für Bankrottprobleme spieltheoretischer Natur ist. Ferner wird eine neue Aufteilungsregel angegeben, welche eine passende Modellierung der Proportionalitätsregel ist. Diese Regel fällt mit dem-Wert für Bankrottspiele zusammen. Schließlich werden Eigenschaften dieser neuen Regel untersucht und eine Axiomatisierung angegeben.

     

Stochastic PDEs Driven by Nonlinear Noise and Backward Doubly SDEs

We study a new kind of backward doubly stochastic differential equations, where the nonlinear noise term is given by Itô–Kunita's stochastic integral. This allows us to give a probabilistic interpretation of classical and Sobolev's solutions of semilinear parabolic stochastic partial differential equations driven by a nonlinear space-time noise.     

Topological existence and stability for stackelberg problems

The aim of this paper is to study, in a topological framework, existence and stability for the solutions to a parametrized Stackelberg problem. To this end, approximate solutions are used, more precisely, -solutions and strict -solutions. The results given are of minimal character and the standard types of constraints are considered, that is, constant constraints, constraints defined by a finite number of inequalities, and more generally constraints defined by an arbitrary multifunction.     

Total risk aversion,stochastic optimal control,and differential games

We present a connection between the theory of risk in the context of a stochastic optimal control problem and its relation to the theory of differential games. In particular, we define the notion of total risk aversion from the viewpoint of the upper value of a differential game. We prove that as the index of absolute risk aversion of a utility function in a stochastic control problem converges to infinity the (certainty equivalent) optimal payoff converges to the upper value of an associated deterministic differential game. The two main points of this paper are (1) a precise characterization oftotal risk aversion and (2) the construction of a stochastic optimal control problem intimately connected to a deterministic differential game.Partially supported by the Air Force Office of Scientific Research Grant No. AFOSR-86-0202.Partially supported by a grant from the National Science Foundation.     

A Property of the Ansatz of Hirota's Method for Quasilinear Parabolic Equations

By using the recently discovered new invariant properties of the ansatz of R. Hirota's method, we prove that the classes of linear fractional solutions to some nonlinear equations are closed. This allows us to construct new solutions for a chosen class of dissipative equations. This algorithm is similar to the method of dressing the solutions of integrable equations. The equations thus obtained imply a compatibility condition and are known as a nonlinear Lax pair with variable coefficients. So we propose a method for constructing such pairs. To construct solutions of a more complicated form, we propose to use the property of zero denominators and factorized brackets, which has been discovered experimentally. The expressions thus constructed are said to be quasi-invariant. They allow us to find true relations between the functions contained in the ansatz, to correct the ansatz, and to construct a solution. We present some examples of new solutions constructed following this approach. Such solutions can be used for majorizing in comparison theorems and for modeling phase processes and process in neurocomputers. A program for computing solutions by methods of computer algebra is written. These techniques supplement the classical methods for constructing solutions by using their group properties.     

Second order backward stochastic differential equations with quadratic growth

We extend the well posedness results for second order backward stochastic differential equations introduced by Soner, Touzi and Zhang (2012)  [31] to the case of a bounded terminal condition and a generator with quadratic growth in the z$z$ variable. More precisely, we obtain uniqueness through a representation of the solution inspired by stochastic control theory, and we obtain two existence results using two different methods. In particular, we obtain the existence of the simplest purely quadratic 2BSDEs through the classical exponential change, which allows us to introduce a quasi-sure version of the entropic risk measure. As an application, we also study robust risk-sensitive control problems. Finally, we prove a Feynman–Kac formula and a probabilistic representation for fully non-linear PDEs in this setting.     

Zero-sum risk-sensitive stochastic games on a countable state space

Infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled Markov chains with countably many states are analyzed. Upper and lower values for these games are established. The existence of value and saddle-point equilibria in the class of Markov strategies is proved for the discounted-cost game. The existence of value and saddle-point equilibria in the class of stationary strategies is proved under the uniform ergodicity condition for the ergodic-cost game. The value of the ergodic-cost game happens to be the product of the inverse of the risk-sensitivity factor and the logarithm of the common Perron–Frobenius eigenvalue of the associated controlled nonlinear kernels.     

Large deviation limit for discrete-time, totally observed stochastic control problems with multiplicative cost

We show that a large class of discrete-time dynamic games can be obtained as a limit of stochastic control problems with multiplicative cost. Our approach consists in analyzing the large deviation properties of the Markov kernels associated with the stochastic dynamics, and allows us to give a unitary treatment of several nonlinear models.     

Characterizing Gaussian Flows Arising from Itô’s Stochastic Differential Equations

In order to identify which of the strong solutions of Itô’s stochastic differential equations (SDEs) are Gaussian, we introduce a class of diffusions which ‘depend deterministically on the initial condition’ and then characterize the class. This characterization allows us to show, using the Monotonicity inequality, that the transpose of the flows generated by the SDEs, for an extended class of initial conditions, are the unique solutions of the class of stochastic partial differential equations introduced in Rajeev and Thangavelu (Potential Anal. 28(2), 139–162 2008), ‘Probabilistic Representations of Solutions of the Forward Equations’.     

Robust H ∞ Filtering for a Class of Nonlinear Discrete-Time Markovian Jump Systems

This paper considers the problem of the robust H filtering for a class of nonlinear discrete-time Markovian jump systems with real time-varying norm-bounded parameter uncertainty. For each mode, the nonlinearity is assumed to satisfy the global Lipschitz conditions and appears in both the state and measured output equations. The problem that we address is the design of a nonlinear filter which ensures robust stochastic stability and a prescribed H performance level of the filtering error system for all admissible uncertainties. A sufficient condition for the solvability of this problem is obtained in terms of a set of linear matrix inequalities; an explicit expression of a desired nonlinear H filter is also given. Finally, an example is provided to demonstrate the effectiveness of the proposed approach.     

Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers

In this paper we investigate zero-sum two-player stochastic differential games whose cost functionals are given by doubly controlled reflected backward stochastic differential equations (RBSDEs) with two barriers. For admissible controls which can depend on the whole past and so include, in particular, information occurring before the beginning of the game, the games are interpreted as games of the type “admissible strategy” against “admissible control”, and the associated lower and upper value functions are studied. A priori random, they are shown to be deterministic, and it is proved that they are the unique viscosity solutions of the associated upper and the lower Bellman–Isaacs equations with two barriers, respectively. For the proofs we make full use of the penalization method for RBSDEs with one barrier and RBSDEs with two barriers. For this end we also prove new estimates for RBSDEs with two barriers, which are sharper than those in Hamadène, Hassani (Probab Theory Relat Fields 132:237–264, 2005). Furthermore, we show that the viscosity solution of the Isaacs equation with two reflecting barriers not only can be approximated by the viscosity solutions of penalized Isaacs equations with one barrier, but also directly by the viscosity solutions of penalized Isaacs equations without barrier. Partially supported by the NSF of P.R.China (No. 10701050; 10671112), Shandong Province (No. Q2007A04), and National Basic Research Program of China (973 Program) (No. 2007CB814904).     

Robustness of minimax controllers to nonlinear perturbations

We study the robustness of minimax controllers, originally designed for nominal linear or nonlinear systems, to unknown static nonlinear perturbations in the state dynamics, measurement equation, and performance index. When the nominal system is linear, we consider both perfect state measurements and general imperfect state measurements; in the case of nominally nonlinear systems, we consider perfect state measurements only. Using a differential game theoretic approach, we show for the former class that, as the perturbation parameter (say, >0) approaches zero, the optimal disturbance attenuation level for the overall system converges to the optimal disturbance attenuation level for the nominal system if the nonlinear structural uncertainties satisfy certain prescribed growth conditions. We also show that anH -controller, designed based on a chosen performance level for the nominal linear system, achieves the same performance level when the parameter is smaller than a computable threshold, except for the finite-horizon imperfect state measurements case. For that case, we show that the design of the nominal controller must be based on a decreased confidence level of the initial data, and a controller thus designed again achieves a desired performance level in the face of nonlinear perturbations satisfying a computable norm bound. In the case of nominally nonlinear systems, and assuming that the nominal system is solvable, we obtain sufficient conditions such that the nominal controller achieves a desired performance in the face of perturbations satisfying computable norm bounds. In this way, we provide a characterization of the class of uncertainties that are tolerable for a controller designed based on the nominal system. The paper also presents two numerical examples; in one of these, the nominal system is linear; in the other one, it is nonlinear.This research was supported in part by the US Department of Energy, Grant DE-FG-02-88-ER-13939 and in part by the National Science Foundation, Grant ECS-91-13153.An abridged version was presented at the 32nd IEEE Conference on Decision and Control, San Antonio, Texas, December 15–17, 1993, and it appeared in the Conference Proceedings.     

Existence theorems for games of survival

A two-person, zero-sum differential game of survival with general type phase constraints is investigated. The dynamics of both players is governed by a system of differential inclusions. Player II can choose any strategy in the Varaiya-Lin sense, while player I can select any lower -strategy (Ref. 1, p. 400). The existence of a value and an optimal strategy for player II is proved under the assumptions that the set of all player II's trajectories is compact in the Banach space of all continuous mappings and that some capturability condition is fulfilled.     

Risk minimizing portfolios and HJBI equations for stochastic differential games

In this paper, we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth in a jump diffusion market. We formulate the problem as a two player (zero-sum) stochastic differential game. To help us find a solution, we prove a theorem giving the Hamilton–Jacobi–Bellman–Isaacs (HJBI) conditions for a general zero-sum stochastic differential game in a jump diffusion setting. We then use the theorem to study particular risk minimization problems. Finally, we extend our approach to cover general stochastic differential games (not necessarily zero-sum), and we obtain similar HJBI equations for the Nash equilibria of such games.     

A Population Dynamics Model with Parental Care

A model for an agestructured unlimited population dynamics with parental care of offspring is presented (migration of individuals is not taken into account). The model consists of six partial integrodifferential equations for single males, single females, pairs with offspring under parental care, pairs without offspring under parental care, and offspring of the male and female sex. A class of separable solutions is constructed.     

Quasi-P*-Maps,P(τ, α, β)-Maps,Exceptional Family of Elements,and Complementarity Problems

Quasi-P_*-maps and P(, , )-maps defined in this paper are two large classes of nonlinear mappings which are broad enough to include P_*-maps as special cases. It is of interest that the class of quasi-P_*-maps also encompasses quasimonotone maps (in particular, pseudomonotone maps) as special cases. Under a strict feasibility condition, it is shown that the nonlinear complementarity problem has a solution if the function is a nonlinear quasi-P_*-map or P(, , )-map. This result generalizes a classical Karamardian existence theorem and a recent result concerning quasimonotone maps established by Hadjisawas and Schaible, but restricted to complementarity problems. A new existence result under an exceptional regularity condition is also established. Our method is based on the concept of exceptional family of elements for a continuous function, which is a powerful tool for investigating the solvability of complementarity problems.     

H ∞-Control for Markovian Jumping Linear Systems with Parametric Uncertainty

This paper studies the problem of H -control for linear systems with Markovian jumping parameters. The jumping parameters considered here are two separable continuous-time, discrete-state Markov processes, one appearing in the system matrices and one appearing in the control variable. Our attention is focused on the design of linear state feedback controllers such that both stochastic stability and a prescribed H -performance are achieved. We also deal with the robust H -control problem for linear systems with both Markovian jumping parameters and parameter uncertainties. The parameter uncertainties are assumed to be real, time-varying, norm-bounded, appearing in the state matrix. Both the finite-horizon and infinite-horizon cases are analyzed. We show that the control problems for linear Markovian jumping systems with and without parameter uncertainties can be solved in terms of the solutions to a set of coupled differential Riccati equations for the finite-horizon case or algebraic Riccati equations for the infinite-horizon case. Particularly, robust H -controllers are also designed when the jumping rates have parameter uncertainties.     

Punishment strategies make the α-coalitional game ordinally convex and balanced

We present a sufficient condition under which the -coalitional game associated with a strategic form game is ordinally convex and balanced. The n-person prisoners dilemma games satisfy this condition.The author is grateful to Mikio Nakayama, Yukihisa Utsumi, William Thomson, an anonymous referee and an associate editor for helpful comments and suggestions.     

Shapley value for constant-sum games

It is proved that Youngs [4] axiomatization for the Shapley value by marginalism, efficiency, and symmetry is still valid for the Shapley value defined on the class of nonnegative constant-sum games with nonzero worth of grand coalition and on the entire class of constant-sum games as well.The research was supported by NWO (The Netherlands Organization for Scientific Research) grant NL-RF 047-008-010.I am thankful to Theo Driessen, Natalia Naumova and Elena Yanovskaya for interesting discussions and comments. The useful remarks of two anonymous referees are also appreciated.