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Li, Dongxu. "Multi-player pursuit-evasion differential games". Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1164738831.
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Hosking, Thomas Shannon. "Differential games of exhaustible resource extraction". Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:0e740dad-4dd8-4f49-9dbb-3de5d7328960.
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This thesis is concerned with game-theoretic models of oligopoly resource markets. They revolve around an open market, on which a number of firms sell a common resource. The market price-demand relationship means that the price (demand) that results from the firm’s production (pricing) decisions is a function of the decisions of all firms selling to that market. This means that firms must generally anticipate the actions of competing firms when determining their own strategies, which means that these models often need to be analysed using game theory. We focus on games in which the resource is exhaustible, with the exception of Chapter 5, in which the majority of the analysis is carried out in an inexhaustible resources setting. Exhaustibility introduces an additional complication into these games; that of allocating the extraction and sale of a limited resource pool over time. We consider several separate areas of extension, which we outline below. In Chapter 2, we consider a dynamic Stackelberg game. Stackelberg competition is an asymmetric form of competition in which one player (the leader) has the ability to pre-commit to and announce a strategy in advance. The ability to pre-commit to a strategy is almost always highly valuable, and in this case allows the leader to drive down the follower’s production by pre-committing to drive up their own. We follow the framework used in [62] to analyse Cournot competition to derive our results. In Chapter 3, we compare the two settings in which resource extraction models are usually formulated: Open-Loop, in which the players determine their strategies as functions of time and the initial resource levels of the players only; and Feedback-Loop, in which the players determine their strategies at each point in time as a function of the current resource levels at that time. Our focus is on the investigation of the relationship between the difference in the production or value of a firm under these two models, and the distribution of resources across the firms. In Chapter 4, we consider a common property resource game. These involve multiple firms which can extract from a common resource pool. We study a widely-used Open- viii Loop model, as formulated in [79]. We examine the result that analysis of the problem by standard methods results in two candidate equilibria, and argue that one of these equilibria can be ruled out by construction of a superior response. In Chapter 5, we analyse joint constraints on production, namely constraints which are met when the total production is above or below a certain level. It is a well- established result that these constraints can result in multiple equilibria. We provide several brief extensions to existing uniqueness results. We also demonstrate methods by which these results can be utilised to analyse games with piecewise-linear windfall taxes or congestion charges. Finally, we discuss the problems of extending these results to games with resource exhaustibility.
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Khadem, Varqa. "Pricing corporate securities and stochastic differential games". Thesis, University of Oxford, 2001. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.393555.
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Ling, Chen. "THREE ESSAYS ON DIFFERENTIAL GAMES AND RESOURCE ECONOMICS". Doctoral diss., University of Central Florida, 2010. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/3887.
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This dissertation consists of three chapters on the topic of differential games and resource economics. The first chapter extends the envelope theorem to the class of discounted infinite horizon differential games that posses locally differentiable Nash equilibria. The theorems cover both the open-loop and feedback information structures, and are applied to a simple analytically solvable linear-quadratic game. The results show that the conventional interpretation of the costate variable as the shadow value of the state variable along the equilibrium path is only valid for feedback Nash equilibria, but not for open-loop Nash equilibria. The specific linear-quadratic structure provides some extra insights on the theorem. For example, the costate variable is shown to uniformly overestimate the shadow value of the state variable in the open-loop case, but the growth rate of the costate variable are the same as the shadow value under open-loop and feedback information structures. Chapter two investigates the qualitative properties of symmetric open-loop Nash equilibria for a ubiquitous class of discounted infinite horizon differential games. The results show that the specific functional forms and the value of parameters used in the game are crucial in determining the local asymptotic stability of steady state, the steady state comparative statics, and the local comparative dynamics. Several sufficient conditions are provided to identify a local saddle point type of steady state. An important steady state policy implication from the model is that functional forms and parameter values are not only quantitatively important to differentiate policy tools, but they are also qualitatively important. Chapter three shifts the interests to the lottery mechanism for rationing public resources. It characterizes the optimal pricing strategies of lotteries for a welfare-maximization agency. The optimal prices are shown to be positive for a wide range of individual private value distributions, suggesting that the sub-optimal pricing may result in a significant efficiency loss and that the earlier studies under zero-pricing may need to be re-examined. In addition, I identify the revenue and welfare equivalency propositions across lottery institutions. Finally, the numerical simulations strongly support the findings.Ph.D.
Department of Economics
Business Administration
Economics PhD
5
Yang, James Ting Feng. "Singular Perturbation of Stochastic Control and Differential Games". Thesis, University of Sydney, 2020. https://hdl.handle.net/2123/22979.
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The defining trait of singular perturbation problems in dynamical systems is the degeneracy of the highest order differential term when a small parameter is formally set to be zero. The implication is that the limiting solution does not entirely coincide with the solution to the degenerated system. It then becomes apparent that the derivation of the limiting solution is non-trivial. However, under certain circumstances, this has been resolved by the Tikhonov's theorem. On the other hand, these problems arise naturally in slow-fast or multiscale models where the small parameter represents the ratio between the evolutionary speeds. Moreover, the limiting solution is often of lower dimensionality and offers a viable method for dimension reduction. For these reasons, singular perturbation techniques have been widely applied in optimisation theory to disciplines such as ecology, robotics, finance and physics, to name a few. In this thesis, we propose three optimisation problems described by a quadratic cost function and a coupled pair of slow-fast linear state equations driven by Brownian motion. The first one is an optimal control problem when the state and control appear in the diffusion coefficient of the noise. The second one is a two-player zero-sum differential game with a constant diffusion coefficient. And third, is an optimal control problem with processes taking values in infinite dimensional spaces. Our aim is to investigate the limiting behaviour of these optimisation problems and its value functions. The general approach is to convert the stochastic and controlled singular perturbation problem into a classical and deterministic singular perturbation problem via the Riccati equation. Consequently, a version of Tikhonov's theorem has to be formulated.
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Hoof, Simon [Verfasser]. "Essays on cooperation in differential games / Simon Hoof". Paderborn : Universitätsbibliothek, 2020. http://d-nb.info/1222587947/34.
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Lin, Wei. "Differential Games for Multi-Agent Systems under Distributed Information". Doctoral diss., University of Central Florida, 2013. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5973.
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In this dissertation, we consider differential games for multi-agent systems under distributed information where every agent is only able to acquire information about the others according to a directed information graph of local communication/sensor networks. Such games arise naturally from many applications including mobile robot coordination, power system optimization, multi-player pursuit-evasion games, etc. Since the admissible strategy of each agent has to conform to the information graph constraint, the conventional game strategy design approaches based upon Riccati equation(s) are not applicable because all the agents are required to have the information of the entire system. Accordingly, the game strategy design under distributed information is commonly known to be challenging. Toward this end, we propose novel open-loop and feedback game strategy design approaches for Nash equilibrium and noninferior solutions with a focus on linear quadratic differential games. For the open-loop design, approximate Nash/noninferior game strategies are proposed by integrating distributed state estimation into the open-loop global-information Nash/noninferior strategies such that, without global information, the distributed game strategies can be made arbitrarily close to and asymptotically converge over time to the global-information strategies. For the feedback design, we propose the best achievable performance indices based approach under which the distributed strategies form a Nash equilibrium or noninferior solution with respect to a set of performance indices that are the closest to the original indices. This approach overcomes two issues in the classical optimal output feedback approach: the simultaneous optimization and initial state dependence. The proposed open-loop and feedback design approaches are applied to an unmanned aerial vehicle formation control problem and a multi-pursuer single-evader differential game problem, respectively. Simulation results of several scenarios are presented for illustration.Ph.D.
Doctorate
Electrical Engineering and Computer Science
Engineering and Computer Science
Electrical Engineering
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Mylvaganam, Thulasi. "Approximate feedback solutions for differential games : theory and applications". Thesis, Imperial College London, 2014. http://hdl.handle.net/10044/1/24975.
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Differential games deal with problems involving multiple players, possibly competing, that influence common dynamics via their actions, commonly referred to as strategies. Thus, differential games introduce the notion of strategic decision making and have a wide range of applications. The work presented in this thesis has two aims. First, constructive approximate solutions to differential games are provided. Different areas of application for the theory are then suggested through a series of examples. Notably, multi-agent systems are identified as a possible application domain for differential game theory. Problems involving multi-agent systems may be formulated as nonlinear differential games for which closed-form solutions do not exist in general, and in these cases the constructive approximate solutions may be useful. The thesis is commenced with an introduction to differential games, focusing on feedback Nash equilibrium solutions. Obtaining such solutions involves solving coupled partial differential equations. Since closed-form solutions for these cannot, in general, be found two methods of constructing approximate solutions for a class of nonlinear, nonzero-sum differential games are developed and applied to some illustrative examples, including the multi-agent collision avoidance problem. The results are extended to a class of nonlinear Stackelberg differential games. The problem of monitoring a region using a team of agents is then formulated as a differential game for which ad-hoc solutions, using ideas introduced previously, are found. Finally mean-field games, which consider differential games with infinitely many players, are considered. It is shown that for a class of mean-field games, solutions rely on a set of ordinary differential equations in place of two coupled partial differential equations which normally characterise the problem.
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Tsukahara, Shinya. "Applied Differential Games in Resource Economics and Political Economy". Kyoto University, 2012. http://hdl.handle.net/2433/158069.
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Priuli, Fabio Simone. "On feedback strategies in control problems and differential games". Doctoral thesis, SISSA, 2006. http://hdl.handle.net/20.500.11767/3999.
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This thesis consists of two parts. In the first part we study the existence and uniqueness of Nash equilibrium solutions for a class of infinite horizon, non-cooperative differential games. The second part is concerned with the construction of nearly-optimal patchy feedbacks, for problems of optimal control.
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Nobakhtian, Soghra. "Near optimal universal feedback law in control and differential games". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape9/PQDD_0017/NQ55365.pdf.
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Mu, Tingshu. "Backward stochastic differential equations and applications : optimal switching, stochastic games, partial differential equations and mean-field". Thesis, Le Mans, 2020. http://www.theses.fr/2020LEMA1023.
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Cette thèse est relative aux Equations Différentielles Stochastique Rétrogrades (EDSRs) réfléchies avec deux obstacles et leurs applications aux jeux de switching de somme nulle, aux systèmes d’équations aux dérivées partielles, aux problèmes de mean-field. Il y a deux parties dans cette thèse. La première partie porte sur le switching optimal stochastique et est composée de deux travaux. Dans le premier travail, nous montrons l’existence de la solution d’un système d’EDSR réfléchies à obstacles bilatéraux interconnectés dans le cadre probabiliste général. Ce problème est lié à un jeu de switching de somme nulle. Ensuite nous abordons la question de l’unicité de la solution. Et enfin nous appliquons les résultats obtenus pour montrer que le système d’EDP associé à une unique solution au sens viscosité, sans la condition de monotonie habituelle. Dans le second travail, nous considérons aussi un système d’EDSRs réfléchies à obstacles bilatéraux interconnectés dans le cadre markovien. La différence avec le premier travail réside dans le fait que le switching ne s’opère pas de la même manière. Cette fois-ci quand le switching est opéré, le système est mis dans l’état suivant importe peu lequel des joueurs décide de switcher. Cette différence est fondamentale et complique singulièrement le problème de l’existence de la solution du système. Néanmoins, dans le cadre markovien nous montrons cette existence et donnons un résultat d’unicité en utilisant principalement la méthode de Perron. Ensuite, le lien avec un jeu de switching spécifique est établi dans deux cadres. Dans la seconde partie nous étudions les EDSR réfléchies unidimensionnelles à deux obstacles de type mean-field. Par la méthode du point fixe, nous montrons l’existence et l’unicité de la solution dans deux cadres, en fonction de l’intégrabilité des donnéesThis thesis is related to Doubly Reflected Backward Stochastic Differential Equations (DRBSDEs) with two obstacles and their applications in zero-sum stochastic switching games, systems of partial differential equations, mean-field problems.There are two parts in this thesis. The first part deals with optimal stochastic switching and is composed of two works. In the first work we prove the existence of the solution of a system of DRBSDEs with bilateral interconnected obstacles in a probabilistic framework. This problem is related to a zero-sum switching game. Then we tackle the problem of the uniqueness of the solution. Finally, we apply the obtained results and prove that, without the usual monotonicity condition, the associated PDE system has a unique solution in viscosity sense. In the second work, we also consider a system of DRBSDEs with bilateral interconnected obstacles in the markovian framework. The difference between this work and the first one lies in the fact that switching does not work in the same way. In this second framework, when switching is operated, the system is put in the following state regardless of which player decides to switch. This difference is fundamental and largely complicates the problem of the existence of the solution of the system. Nevertheless, in the Markovian framework we show this existence and give a uniqueness result by the Perron’s method. Later on, two particular switching games are analyzed.In the second part we study a one-dimensional Reflected BSDE with two obstacles of mean-field type. By the fixed point method, we show the existence and uniqueness of the solution in connection with the integrality of the data
13
Terrone, Gabriele. "Singular Perturbation and Homogenization Problems in Control Theory, Differential Games and fully nonlinear Partial Differential Equations". Doctoral thesis, Università degli studi di Padova, 2008. http://hdl.handle.net/11577/3426271.
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In this thesis we address different topics related to homogenization of first and second order fully nonlinear PDEs, essentially of Hamilton--Jacobi type, and more generally to singular perturbation in optimal control problems and differential games, in the light of the viscosity solution theory.
We take into account a singularly perturbed control systems (i.e. a system where the state variables evolve with two different time scales), both in the deterministic and in the stochastic setting, and the related first and second order Hamilton-Jacobi equations. A first part of the work is devoted to order reduction procedures: the goal of such procedures is to obtain, as the perturbation parameter tends to zero, a system where only the slow variables appear. The construction of the limit dynamics relies on the asymptotic behavior of the fast variables of the original system.
We use limiting relaxed controls, i.e. suitably defined Radon probability measures to average the fast part of the controlled dynamics. We give - both in the deterministic and in the stochastic framework - representation formulae for the effective Hamiltonian in terms of limiting relaxed controls. This allow a control interpretation of the limiting dynamics. As an application of these reduction procedures, we study the propagation of fronts moving with normal velocity depending on the position and undergoing fast oscillations.
In the second part of the work we study asymptotic controllability properties of a deterministic singularly perturbed systems and of the limit system. We prove first that, under suitable assumptions, the weak lower semilimit of Lyapunov functions of a singularly perturbed system is a lower semicontinuous Lyapunov function for the limiting system.
Furthermore, we also prove that the asymptotic controllability to the origin of the (smaller) limit system is enough to infer asymptotic controllability of the slow part of the (larger) perturbed system. More precisely, perturbing a Lyapunov pair for the limit dynamics, we construct a Lyapunov pair for the original system.
The third and last part of the thesis concerns homogenization of non-coercive Hamilton-Jacobi equations with oscillating Hamiltonian and initial data. We take into account a rather general class of Hamiltonians convex in some gradient variables and concave with respect to the others. In particular it is shown that for some of these equations homogenization does not take place, in contrast with the usual coercive case. Sufficient conditions for homogenization are provided involving the structure of the running cost and the initial data.
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Wang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics /". St Andrews, 2010. http://hdl.handle.net/10023/893.
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Wang, Wen-Kai. "Application of stochastic differential games and real option theory in environmental economics". Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/893.
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This thesis presents several problems based on papers written jointly by the author and Dr. Christian-Oliver Ewald. Firstly, the author extends the model presented by Fershtman and Nitzan (1991), which studies a deterministic differential public good game. Two types of volatility are considered. In the first case the volatility of the diffusion term is dependent on the current level of public good, while in the second case the volatility is dependent on the current rate of public good provision by the agents. The result in the latter case is qualitatively different from the first one. These results are discussed in detail, along with numerical examples. Secondly, two existing lines of research in game theoretic studies of fisheries are combined and extended. The first line of research is the inclusion of the aspect of predation and the consideration of multi-species fisheries within classical game theoretic fishery models. The second line of research includes continuous time and uncertainty. This thesis considers a two species fishery game and compares the results of this with several cases. Thirdly, a model of a fishery is developed in which the dynamic of the unharvested fish population is given by the stochastic logistic growth equation and it is assumed that the fishery harvests the fish population following a constant effort strategy. Explicit formulas for optimal fishing effort are derived in problems considered and the effects of uncertainty, risk aversion and mean reversion speed on fishing efforts are investigated. Fourthly, a Dixit and Pindyck type irreversible investment problem in continuous time is solved, using the assumption that the project value follows a Cox-Ingersoll- Ross process. This solution differs from the two classical cases of geometric Brownian motion and geometric mean reversion and these differences are examined. The aim is to find the optimal stopping time, which can be applied to the problem of extracting resources.
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Piga, Claudio Antonio Giuseppe. "Essays in industrial organization : theory and practice". Thesis, University of York, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.341600.
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English, Jacob T. "A Defender-Aware Attacking Guidance Policy for the TAD Differential Game". Ohio University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ohiou160579737158944.
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Wei, Mo. "Reconstruction theories of non-ideal games". Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1164129772.
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Beard, Rodney. "Ito stochastic control theory, stochastic differential games and the economic theory of mobile pastoralism /". [St. Lucia, Qld.], 2005. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18631.pdf.
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Reimann, Johan Michael. "Using Multiplayer Differential Game Theory to Derive Efficient Pursuit-Evasion Strategies for Unmanned Aerial Vehicles". Diss., Georgia Institute of Technology, 2007. http://hdl.handle.net/1853/16151.
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In recent years, Unmanned Aerial Vehicles (UAVs) have been used extensively in military conflict situations to execute intelligence, surveillance and reconnaissance missions. However, most of the current UAV platforms have limited collaborative capabilities, and consequently they must be controlled individually by operators on the ground. The purpose of the research presented in this thesis is to derive algorithms that can enable multiple UAVs to reason about the movements of multiple ground targets and autonomously coordinate their efforts in real-time to ensure that the targets do not escape. By improving the autonomy of multivehicle systems, the workload placed on the command and control operators is reduced significantly.
To derive effective adversarial control algorithms, the adversarial scenario is modeled as a multiplayer differential game. However, due to the inherent computational complexity of multiplayer differential games, three less computationally demanding differential pursuit-evasion game-based algorithms are presented. The purpose of the algorithms is to quickly derive interception strategies for a team of autonomous vehicles. The algorithms are applicable to scenarios with different base assumptions, that is, the three algorithms are meant to complement one another by addressing different types of adversarial problems.
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Swanson, Brian A. "Solving a Single-Pursuer, Dual-Evader Pursuit-Evasion Differential Game and Analogous Optimal Control Problems". University of Cincinnati / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1595247361709163.
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GHIO, Maddalena. "Mean-Field games with absorption and singular controls". Doctoral thesis, Scuola Normale Superiore, 2021. http://hdl.handle.net/11384/108480.
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The first part of the work is devoted to mean-field games with absorption, a class
of games that can be viewed as natural limits of symmetric stochastic differential
games with a large number of players who, interacting through a mean-field, leave
the game as soon as their private states hit a given boundary. In most of the literature
on mean-field games, all players stay in the game until the end of the period,
while in many applications, especially in economics and finance, it is natural to have
a mechanism deciding when a player has to leave. Such a mechanism can be modelled
by introducing an absorbing boundary for the state space.
The second part of the thesis, deals with mean-field games of finite-fuel capacity expansion
with singular controls. While singular control problems with finite (and infinite)
fuel find numerous applications in the economic literature and originated from the
engineering literature in the late 60’s, many-player game versions of these problems
have only very recently been introduced. They are a natural extension of the single
agent set-up and allow to model numerous applied situations. In our work in particular,
we make assumptions on the structure of the interaction across players that
are suitable to model the so-called goodwill problem.
Altogether, the original contribution to the mean-field games literature of the
present work is threefold. First, it contributes to the development of mean-field
games with absorption, continuing the work of Campi and Fischer (2018) and considerably
generalizing the original model by relaxing the assumptions and setting
it into a more abstract, infinite-dimensional, framework. Second, it introduces a
new set of tools to deal with mean-field games with singular controls, extending
the well-known connection between singular stochastic control and optimal stopping
to mean-field games. Finally, it also contributes to the numerical literature on
mean-field games, by proposing a numerical scheme to approximate the solutions
of mean-field games with singular controls with a constructive approach.
Overall, this thesis focuses on newly introduced branches of the theory of meanfield
games that display a high potential for economic and financial applications,
contributing to the literature not only by further developing the existing theory but
also by working in directions that make the these models more suitable to applications
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Howells, Christopher Corey. "Game-Theoretic Approach with Cost Manipulation to Vehicular Collision Avoidance". Thesis, Virginia Tech, 2004. http://hdl.handle.net/10919/42802.
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Collision avoidance is treated as a game of two players with opposing desiderata. In the application to automated car-like vehicles, we will use a differential game in order to model and assess a worst-case analysis. The end result will be an almost analytic representation of a boundary between a â safeâ set and a â unsafeâ set. We will generalize the research in [27] to non-identical players and begin the setup of the boundary construction. Then we will consider the advantages and disadvantages of manipulation of the cost function through the solution and control techniques. In particular, we introduce a possible way to incorporate a secondary objective such as sticking to a straight path. We also look a hybrid technique to reduce steering when the opposing player is out of the reach of the vehicle; i.e., is out of the â unsafeâ set and less extreme maneuvers may be desired.
We first look at a terminal cost formulation and through retrograde techniques may shape this boundary between the â safeâ and â unsafeâ set. We would like this research, or part thereof, to be assessed and simulated on a simulation vehicle such as that used in the Flexible Low-cost Automated Scaled Highway (FLASH) at the Virginia Tech Transportation Institute (VTTI). In preparation, we briefly look at the sensor demands from this game-theoretic approach.Master of Science
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Maldonado, Lopez Juan Pablo. "Some links between discrete and continuous aspects in dynamic games". Thesis, Paris 6, 2014. http://www.theses.fr/2014PA066271/document.
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Cette thèse étudie les liens entre a) les jeux en temps discret et continu, et b) les jeux à très grand nombre de joueurs identiques et les jeux avec un continuum de joueurs. Une motivation pour ces sujets ainsi que les contributions principales de cette thèse sont présentées dans le Chapitre 1. Le reste de la thèse est organisé en trois parties. La Partie I étudie les jeux différentiels à somme nulle et à deux joueurs. Nous décrivons dans le Chapitre 3 trois approches qui ont été proposées dans la littérature pour établir l’existence de la valeur dans les jeux différentiels à deux joueurs et à somme nulle, en soulignant les liens qui existent entre elles. Nous fournissons dans le Chapitre 4 une démonstration de l’existence de la valeur à l’aide d’une description explicite des stratégies ε optimales. Le Chapitre 5 établit l’équivalence entre les solutions de minimax et les solutions de viscosité pour les équations de Hamilton-Jacobi-Isaacs. La Partie II porte sur les jeux à champ moyen en temps discret. L’espace d’action est supposé compact dans le Chapitre 6, et fini dans le Chapitre 7. Dans les deux cas, nous obtenons l’existence d’un ε- équilibre de Nash pour un jeu stochastique avec un nombre fini de joueurs identiques, où le terme d’approximation tend vers zéro lorsque le nombre de joueurs augmente. Nous obtenons dans le Chapitre 7 des bornes d’erreur explicites, ainsi que l’existence d’un ε-équilibre de Nash pour un jeu stochastique à durée d’étape évanescente et à un nombre fini de joueurs identiques. Dans ce cas, le terme d’approximation est fonction à la fois du nombre de joueurs et de la durée d’étape. Enfin, la Partie III porte sur les jeux stochastiques à durée d’étape évanescente, qui sont décrits dans le Chapitre 8. Il s’agit de jeux où un paramètre évolue selon une chaîne de Markov en temps continu, tandis que les joueurs choisissent leurs actions à des dates discrètes. La dynamique en temps continu dépend des actions des joueurs. Nous considérons trois évaluations différentes pour le paiement et deux structures d’information : dans un cas, les joueurs observent les actions passées et le paramètre, et dans l’autre, seules les actions passées sont observéesIn this thesis we describe some links between a) discrete and continuous time games and b) games with finitely many players and games with a continuum of players. A motivation to the subject and the main contributions are outlined in Chapter 2. The rest of the thesis is organized in three parts: Part I is devoted to differential games, describing the different approaches for establishing the existence of the value of two player, zero sum differential games in Chapter 3 and pointing out connections between them. In Chapter 4 we provide a proof of the existence of the value using an explicit description of ε-optimal strategies and a proof of the equivalence of minimax solutions and viscosity solutions for Hamilton-Jacobi-Isaacs equations in Chapter 5. Part II concerns discrete time mean field games. We study two models with different assumptions, in particular, in Chapter 6 we consider a compact action space while in Chapter 7 the action space is finite. In both cases we derive the existence of an ε-Nash equilibrium for a stochastic game with finitely many identical players, where the approximation error vanishes as the number of players increases. We obtain explicit error bounds in Chapter 7 where we also obtain the existence of an ε-Nash equilibrium for a stochastic game with short stage duration and finitely many identical players, with the approximation error depending both on the number of players and the duration of the stage. Part III is concerned with two player, zero sum stochastic games with short stage duration, described in Chapter 8. These are games where a parameter evolves following a continuous time Markov chain, while the players choose their actions at the nodes of a given partition of the positive real axis. The continuous time dynamics of the parameter depends on the actions of the players. We consider three different evaluations for the payoff and two different information structures: when players observe the past actions and the parameter and when players observe past actions but not the parameter
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Goode, Brian Joseph. "A State Space Partitioning Scheme for Vehicle Control in Pursuit-Evasion Scenarios". Diss., Virginia Tech, 2011. http://hdl.handle.net/10919/40266.
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Pursuit-evasion games are the subject of a variety of research initiatives seeking to provide some level of autonomy to mobile, robotic vehicles with on-board controllers. Applications of these controllers include defense topics such as unmanned aerial vehicle (UAV) and unmanned underwater vehicle (UUV) navigation for threat surveillance, assessment, or engagement. Controllers implementing pursuit-evasion algorithms are also used for improving everyday tasks such as driving in traffic when used for collision avoidance maneuvers.
Currently, pursuit-evasion tactics are incorporated into the control by solving the Hamilton-Jacobi-Isaacs (HJI) equation explicitly, simplifying the solution using approximate dynamic programming, or using a purely finite-horizon approach. Unfortunately, these methods are either subject to difficulties of long computational times or having no guarantees of succeeding in the pursuit-evasion game. This leads to more difficulties of implementing these tactics on-line in a real robotic scenario where the opposing agent may not be known before the maneuver is required.
This dissertation presents a novel method of solving the HJI equation by partitioning the state space into regions of local, finite horizon control laws. As a result, the HJI equation can be reduced to solving the Hamilton-Jacobi-Bellman equation recursively as information is received about an opposing agent. Adding complexity to the problem structure results in a decreased calculation time to allow pursuit-evasion tactics to be calculated on-board an agent during a scenario. The algorithms and implementation methods are given explicitly and illustrated with an example of two robotic vehicles in a collision avoidance maneuver.Ph. D.
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Tembine, Hamidou. "Population games with networking applications". Phd thesis, Université d'Avignon, 2009. http://tel.archives-ouvertes.fr/tel-00451970.
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Ce manuscrit présente les fondements dynamiques des jeux de population avec un nombre variable de joueurs ainsi que leurs concepts de solutions et de stabilités. Nous introduisons d'abord les dynamiques de jeux avec retard et étudions leurs stabilités. Nous les appliquons aux réseaux filaires et aux réseaux sans fils. Ensuite nous nous intéressons aux aspects de mobilité et aux distributions spatiales des joueurs sur le réseau. Cela nous conduit à une nouvelle classe de dynamique de jeux à stratégies vectorielles avec des contraintes de migrations, appelée dynamique de jeux d'évolution avec migration. Nous dérivons de telles dynamiques pour les réseaux hybrides et appliquons aux problèmes de contrôle de puissance dans les réseaux hétérogènes, choix entre plusieurs technologies et migration entre plusieurs classes d'utilisateurs. Ensuite nous nous focalisons aux jeux stochastiques de population avec plusieurs classes de joueurs dans lesquels chaque joueur possède son propre état et fait face un vecteur qui évolue dans le temps. Des applications à la gestion d'énergie dans les réseaux sont présentées. Finalement, nous étudions une classe de jeux à champ moyen. Lorsque la taille de la population devient très grande, les asymptotiques du système conduisent à des dynamiques appelées dynamiques de jeux à champ moyen. Cette classe de dynamiques contient les dynamiques standard basées sur des révisions de stratégies. Nous utilisons ce modèle pour analyser les problèmes accès aléatoires à des ressources dans un environnement où les utilisateurs et les ressources sont spatialement distribuées. Nous établissons un lien entre les jeux à champ moyen et les jeux différentiels de population dans lesquels chaque joueur a son état individuel et optimise son paiement à long terme pendant son temps de séjour dans le système sous contraintes que le profil de population évolue selon une dynamique de jeux à champ moyen
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ADDONA, DAVIDE. "Parabolic operators with unbounded coefficients with applications to stochastic optimal control games". Doctoral thesis, Università degli Studi di Milano-Bicocca, 2015. http://hdl.handle.net/10281/76535.
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The aim of this thesis is to improve some results on parabolic Cauchy problems with unbounded coefficients and their connection with stochastic optimal games.
In the first part we summarize the recent results on parabolic operators with unbounded coefficients and on stochastic optimal control problem. In particular, in the matter of analyitic results, we recall the main exstence and uniqueness theorems for parabolic Cauchy problems with unbounded coefficients, the gradient estimates for the associated evolution operator, and its continuity and compactness properties. About the stochastic part, we briefly show the strong and weak formulation, which are the settings where the stochastic control problems are located, and we introduce the backward stochastic differential equations, which allow to connect a semilinear Cauchy problem with a class of stochastic control problem.
In the second part we prove the existence and uniqueness of a mild solution to a semilinear parabolic Cauchy problem of Hamilton-Jacobi-Bellman (HJB) type. Moreover, we show that the solution to a Forward Backward Stochastic Differential Equation (FBSDE) can be expressed in terms of the solution to the HJB equation. Combining HJB equation and FBSDE, we show that, for a class of stochastic control problemin weak formulation, there exists an optimal control, and by means of the regularity of the solution to the HJB equation, we can identify the feedback law.
The third part of the thesis is devoted to the study of a class of system of nonautonomous linear parabolic equations with unbounded coefficients, coupled both at first and zero order. We provide sufficient conditions which guarantee the existence and uniqueness of a classical solution to the Cauchy problem, and throughout this classical solution we define an evolution operator on the space of bounded and continuous functions. Further, we prove continuity properties of the evolution operator and that, under additional hypotheses, it is compact on the space of bounded and continuous functions.
In the last chapter, we deal with a semilinear system of parabolic equations and its application to differential games. At first, we prove the existence of a mild solution to the system by an approximation argument. Throughout this mild solution, we show the existence of an adapted solution to a system of FBSDE which allows us to prove the existence of a Nash equilibrium for a class of differential games.
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Basei, Matteo. "Topics in stochastic control and differential game theory, with application to mathematical finance". Doctoral thesis, Università degli studi di Padova, 2016. http://hdl.handle.net/11577/3424239.
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We consider three problems in stochastic control and differential game theory, arising from practical situations in mathematical finance and energy markets.
First, we address the problem of optimally exercising swing contracts in energy markets. Our main result consists in characterizing the value function as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation. The case of contracts with penalties is straightforward. Conversely, the case of contracts with strict constraints gives rise to stochastic control problems where a non-standard integral constraint is present: we get the anticipated characterization by considering a suitable sequence of unconstrained problems. The approximation result is proved for a general class of problems with an integral constraint on the controls.
Then, we consider a retailer who has to decide when and how to intervene and adjust the price of the energy he sells, in order to maximize his earnings. The intervention costs can be either fixed or depending on the market share. In the first case, we get a standard impulsive control problem and we characterize the value function and the optimal price policy. In the second case, classical theory cannot be applied, due to the singularities of the penalty function; we then outline an approximation argument and we finally consider stronger conditions on the controls to characterize the optimal policy.
Finally, we focus on a general class of non-zero-sum stochastic differential games with impulse controls. After defining a rigorous framework for such problems, we prove a verification theorem: if a couple of functions is regular enough and satisfies a suitable system of quasi-variational inequalities, it coincides with the value functions of the problem and a characterization of the Nash equilibria is possible. We conclude by a detailed example: we investigate the existence of equilibria in the case where two countries, with different goals, can affect the exchange rate between the corresponding currencies.In questa tesi vengono considerati tre problemi relativi alla teoria del controllo stocastico e dei giochi differenziali; tali problemi sono legati a situazioni concrete nell'ambito della finanza matematica e, più precisamente, dei mercati dell'energia. Innanzitutto, affrontiamo il problema dell'esercizio ottimale di opzioni swing nel mercato dell'energia. Il risultato principale consiste nel caratterizzare la funzione valore come unica soluzione di viscosità di un'opportuna equazione di Hamilton-Jacobi-Bellman. Il caso relativo ai contratti con penalità può essere trattato in modo standard. Al contrario, il caso relativo ai contratti con vincoli stretti porta a problemi di controllo stocastico in cui è presente un vincolo non standard sui controlli: la suddetta caratterizzazione è allora ottenuta considerando un'opportuna successione di problemi non vincolati. Tale approssimazione viene dimostrata per una classe generale di problemi con vincolo integrale sui controlli. Successivamente, consideriamo un fornitore di energia che deve decidere quando e come intervenire per cambiare il prezzo che chiede ai suoi clienti, al fine di massimizzare il suo guadagno. I costi di intervento possono essere fissi o dipendere dalla quota di mercato del fornitore. Nel primo caso, otteniamo un problema standard di controllo stocastico impulsivo, in cui caratterizziamo la funzione valore e la politica ottimale di gestione del prezzo. Nel secondo caso, la teoria classica non può essere applicata a causa delle singolarità nella funzione che definisce le penalità. Delineiamo quindi una procedura di approssimazione e consideriamo infine condizioni più forti sui controlli, così da caratterizzare, anche in questo caso, il controllo ottimale. Infine, studiamo una classe generale di giochi differenziali a somma non nulla e con controlli di tipo impulsivo. Dopo aver definito rigorosamente tali problemi, forniamo la dimostrazione di un teorema di verifica: se una coppia di funzioni è sufficientemente regolare e soddisfa un opportuno sistema di disequazioni quasi-variazionali, essa coincide con le funzioni valore del problema ed è possibile caratterizzare gli equilibri di Nash. Concludiamo con un esempio dettagliato: indaghiamo l'esistenza di equilibri nel caso in cui due nazioni, con obiettivi differenti, possono condizionare il tasso di cambio tra le rispettive valute.
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Sulzbach, Sirlei Ines. "Definição e especificação formal do jogo diferencial Lobos e Cordeiro". reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2005. http://hdl.handle.net/10183/10546.
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No presente trabalho serão apresentadas questões usuais em jogos diferenciais, nos quais os jogadores envolvidos têm objetivos diferentes; ou seja, enquanto um dos jogadores tenta fugir, o outro tenta pegar. Além disso, será definido um modelo de especificação para o jogo diferencial lobos e cordeiro. As Redes de Petri foram escolhidas como forma de especificação para o jogo proposto. Assim, o objetivo será estabelecer estratégias eficientes para o jogo lobos e cordeiro para que se possa realizar um estudo da complexidade das questões apresentadas para este jogo, levando-se em consideração a especificação formal apresentada para tal jogo.In this work usual questions in differential games will be presented, in which the involved players have different objectives; that is, while one of the players tries "to run away", the other tries "to catch". Moreover, a specification for the differential game "wolves and lamb" will be defined. The Petri Nets had been chosen as specification formalism for the considered game. Thus, the objective is to establish efficient strategies for the game wolves and lamb so that we can carry out a study of the complexity of the presented questions, taking into consideration the presented formal specification for the game.
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Grün, Christine. "Jeux différentiels stochastiques à information incomplète". Thesis, Brest, 2012. http://www.theses.fr/2012BRES0017/document.
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L'objectif de cette thèse est l'étude des jeux différentiels stochastiques à information incomplète. Nous considérons un jeu à deux joueurs adverses qui contrôlent une diffusion afin de minimiser, respectivement de maximiser un paiement spécifique. Pour modéliser l'incomplétude des informations, nous suivrons la célèbre approche d'Aumann et Maschler. Nous supposons qu'il existe des états de la nature différents dans laquelle le jeu peut avoir lieu. Avant que le jeu commence, l'état est choisi au hasard. L'information est ensuite transmise à un joueur alors que le second ne connaît que les probabilités respectives pour chaque état.Dans cette thèse nous établissons une représentationduale pour les jeux différentiels stochastiques à information incomplète. Ici, nous utilisons largement la théorie des équations différentielles stochastiques rétrogrades (EDSRs), qui se révèle être un outilindispensable dans cette étude. En outre, nous montrons comment, sous certaines restrictions, cette représentation permetde construire des stratégies optimales pour le joueur informé. Ensuite, nous donnons, en utilisant la représentation duale, une preuve particulièrement simple de la semiconvexité de la fonction valeur des jeux différentiels à information incomplète.Un autre partie de la thèse est consacré à des schémas numériques pour les jeux différentiels stochastiques à informationincomplète. Dans la dernière partie nous étudions des jeux d'arrêt optimal en temps continue, appelés jeux de Dynkin, à information incomplète. Nous établissons également une représentation duale, qui est utilisé pour déterminer des stratégies optimales pour le joueur informé dans ce casThe objective of this thesis is the study of stochastic differential games with incomplete information. We consider a game with two opponent players who control a diffusion in order to minimize, respectively maximize a certain payoff. To model the information incompleteness we will follow the famous ansatz of Aumann and Maschler. We assume that there are different states of nature in which the game can take place. Before the game starts the state is chosen randomly. The information is then transmitted to one player while the second one only knows the respective probabilities for each state. In this thesis we establish a dual representation for stochastic differential games with incomplete information. Therein we make a vast use of the theory of backward stochastic differential equations (BSDEs), which turns out to be an indispensable tool in this study. Moreover we show how under some restrictions that this representation allows to construct optimal strategies for the informed player.Morover we give - using the dual representation - a strikingly simple proof for semiconvexity of the value function of differential games with incomplete information. Another part of this thesis is devoted to numerical schemes for stochastic differential games with incomplete information. In the last part we investigate continuous time optimal stopping games, so called Dynkin games, with information incompleteness. We show that these games have a value and a unique characterization by a fully non-linear variational PDE for which we provide a comparison principle. Also we establish a dual representation for Dynkin games with incomplete information
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Angelis, John N. "Decision Models for Growing Firms: Obstacles and Opportunities". online version, 2009. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=case1228408327.
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Kuráňová, Silvie. "Interactive PDF Documents in Math Education Focused on Tests for Differential Equations". Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2012. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-80489.
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The progress of blended learning has given rise to the need to prepare quality electronic materials, especially those which use the greatest advantage of an electronic document – its interactivity. This
paper presents several types of PDF materials – interactive exercises, tests and games created by LaTeX packages (AcroTeX eDucation Bundle) with a contribution of other supporting instruments (3D graphics, fancytooltips, AcroFLeX). Differential equations, as an important tool of continuous mathematical modeling, have been chosen to demonstrate the still increasing power of PDF documents. This strategy allowed me to introduce innovative approaches in explaining and exercising this part of mathematics at the same time. To create such materials some LaTeX knowledge is needed; nevertheless this article is for all math teachers who are looking for quality interactive materials.
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Ludovic, Moreau. "A Contribution in Stochastic Control Applied to Finance and Insurance". Phd thesis, Université Paris Dauphine - Paris IX, 2012. http://tel.archives-ouvertes.fr/tel-00737624.
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Le but de cette thèse est d'apporter une contribution à la problématique de valorisation de produits dérivés en marchés incomplets. Nous considérons tout d'abord les cibles stochastiques introduites par Soner et Touzi (2002) afin de traiter le problème de sur-réplication, et récemment étendues afin de traiter des approches plus générales par Bouchard, Elie et Touzi (2009). Nous généralisons le travail de Bouchard {\sl et al} à un cadre plus général où les diffusions sont sujettes à des sauts. Nous devons considérer dans ce cas des contrôles qui prennent la forme de fonctions non bornées, ce qui impacte de façon non triviale la dérivation des EDP correspondantes. Notre deuxième contribution consiste à établir une version des cibles stochastiques qui soit robuste à l'incertitude de modèle. Dans un cadre abstrait, nous établissons une version faible du principe de programmation dynamique géométrique de Soner et Touzi (2002), et nous dérivons, dans un cas d'EDS controllées, l'équation aux dérivées partielles correspondantes, au sens des viscosités. Nous nous intéressons ensuite à un exemple de couverture partielle sous incertitude de Knightian. Finalement, nous nous concentrons sur le problème de valorisation de produits dérivées {\sl hybrides} (produits dérivés combinant finance de marché et assurance). Nous cherchons plus particulièrement à établir une condition suffisante sous laquelle une règle de valorisation (populaire dans l'industrie), consistant à combiner l'approches actuarielle de mutualisation avec une approche d'arbitrage, soit valable.
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Lu, Lijue. "Strategic Interactions in Marketing: A Dynamic Approach". Doctoral thesis, Universitat de Barcelona, 2019. http://hdl.handle.net/10803/668075.
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The aim of the thesis is to contribute to a better understanding of the strategic and dynamic interactions in some marketing problems by using a differential game approach.
Specifically, in the first study, we analyze a finite time horizon advertising dynamic game under the assumption that the firms’ time preferences are time-inconsistent. Specifically, we consider two types of discounting, heterogeneous discounting and hyperbolic discounting. In the case of heterogeneous discounting, the relative importance of the final function will increase/decrease as the end of the planning horizon approaches compared with current payoffs. Whereas when agents discount future payoffs hyperbolically, their discount rates diminish rapidly in earlier stages and then slowly in the long term. We compute time-inconsistent and time-consistent feedback Nash equilibrium strategies, and compare them with those of the standard discounting case. Our results reveal that heterogeneous discounting would lead to some adapting behaviors in the last years in accordance with their increasing/decreasing valuations of the final state. Under some circumstances, the change can be so radical that the pre-commitment solution takes the contrary path of time- consistent strategies. Concerning the competition under hyperbolic discounting, different strategies exhibit disparity in the beginning, and encounter in the neighborhood in the end. Besides, a strong commitment power might induce over investment.
In the second project, we study an advertising dynamic game in supply chain management under the assumption that the agents differ in their time preference rates. We study two coordination mechanisms: the cost sharing program, where the retailer can get some reimbursement of the advertising cost from the manufacturer; and the vertical integration, where the two players aim to maximize the joint profit. We derive the time-consistent cooperative advertising strategies in each coordination setting, and we compare them with the non-cooperative case. Our results show that, the cost sharing program is Pareto superior to the non-cooperative setting, while vertical integration could be more preferred by the manufacturer and less preferred by the retailer if the initial goodwill level is sufficiently high. Besides, unlike previous results in the literature, we found that when the agents’ discount rates are very different, joint profits could be lower under vertical integration than in the non-cooperative case, which yields an inefficient cooperation.
In the third study, we consider a supply chain that faces a potential brand crisis, with one manufacturer deciding quality improvement and global advertising levels, and one retailer determining local advertising effort. The goodwill model is adopted here under the assumption that when the crisis happens, the companies suffer a sharp decrease in the goodwill. We characterize the feedback Nash equilibrium, and then we compare the corresponding quality and advertising strategies and outcomes with those of the case where the potential crises are absent, and where the
companies do not invest in quality. The effects of the instantaneous crisis rate and the short-term and long-term damages are also evaluated. Our results reveal that the pre-crisis quality improvement accelerates the goodwill build-up before the crisis, and also helps the recovery in post-crisis regime. Its twofold function suggests that one of the pre- and post-crisis regimes/instants ought to be matched with more intense investment in both quality and global advertising, depending on the overall effect of instantaneous crisis rate, short-term damage and long-term damage. This carryover effect also brings a non-monotonicity of quality improvement effort and value functions with respect to the instantaneous crisis rate. These properties leave the chance to mitigate the loss by anticipating crisis for both members under certain circumstances.
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Liu, Baolong. "Dynamic modeling in sustainable operations and supply chain management". Thesis, Cergy-Pontoise, Ecole supérieure des sciences économiques et commerciales, 2018. http://www.theses.fr/2018ESEC0006.
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Cette thèse articule plusieurs questions importantes dans les opérations durables et la gestion de la chaîne d'approvisionnement, non seulement afin de fournir des idées pour améliorer la performance des entreprises, mais aussi pour inciter ces dernières à adopter les moyens appropriés pour un meilleur environnement de notre société. Le lien entre le niveau de l'entreprise et le niveau de la société est que l'amélioration de la performance écologique par une meilleure gestion des opérations dans les entreprises et les chaînes d'approvisionnement est un élément indispensable pour améliorer l'environnement dans notre société. Prenons la Chine comme exemple. Depuis quelques années, le gouvernement a commencé à favoriser toutes les initiatives pour résoudre les problèmes de pollution de l'air. Un moyen important et utile est de mettre en place une réglementation stricte et de surveiller les efforts des entreprises qui seront passibles d'amendes sérieuses si certaines normes ne sont pas respectées par des inspections aléatoires. Par conséquent, les entreprises doivent coopérer pour améliorer leur rentabilité et, plus important encore, leurs impacts environnementaux. Grâce à cet effort prolongé, malgré le fait que la situation future est incertaine, la qualité de l'air s'est progressivement améliorée en Chine. Cette thèse, dans un cadre plus général, vise à fournir aux entreprises des informations importantes afin qu'elles soient non seulement en mesure de respecter la réglementation, mais aussi en mesure d'apporter véritablement leur contribution à la construction d'un environnement meilleur pour les générations futures. Notre objectif fondamental est d'obtenir une compréhension approfondie des compromis auxquels les entreprises sont confrontées, de modéliser les problèmes de recherche de solutions possibles et d'aider les entreprises/chaînes d'approvisionnement à améliorer leur performance d'un point de vue théorique. Ensuite, la thèse aidera indirectement les entreprises à réaliser l'importance du développement de moyens de gestion durable des opérations et de la chaîne d'approvisionnement sur notre société. La thèse est organisée comme la structure suivante. Le chapitre 3 est le premier essai, Environmental Collaboration and Process Innovation in Supply Chain Management with Coordination. Le chapitre 4 comprend le contenu du deuxième essai, Remanufacturing of Multi-Component Systems with Product Substitution, et le troisième essai, Joint Dynamic Pricing and Return Quality Strategies Under Demand Cannibalization , est présenté au chapitre 5. Le chapitre 6 donne les remarques finales générales des trois essais, suivies de la liste de référence, et les annexesThis thesis articulates several important issues in sustainable operations and supply chain management not only to provide insights for enhancing the performance of firms but also to appeal to the enterprises to adopt appropriate means for a better environment of our society. The link from firm level to society level is that, to improve the green performance through better operations management efficiency in firms and supply chains, is an indispensable element to ameliorate the environment in our society. Taking China as an example. Since a few years ago (The Straitstimes, 2017; Stanway & Perry, 2018), the government started to spare no effort in resolving the air pollution problems. An important and useful means is to put strict regulations and monitoring the efforts of firms which will face serious fine if certain standards are not met by random inspection. Therefore, firms have to cooperate for the betterment of its profitability and, more importantly, the environmental impacts. Throughout the endeavor, despite the uncertain future situation, the air quality has gradually improved in China (Zheng, 2018). This thesis, in a more general setting, aims to provide important insights to firms so that they are not only able to meet the regulations but genuinely to make contributions to building a better environment for our future generations. Basically, our goal is to obtain deep understanding of the trade-offs with which companies are faced, and to model the problems for seeking possible solutions and helping firms/supply chains to enhance their performance from a theoretical point of view. Then, indirectly, the work will help firms to realize the importance of developing sustainable operations and supply chain management means on our society. The structure of the thesis is organized as follows. Chapter 2 introduces the thesis in French. Chapter 3 is the first essay, Environmental Collaboration and Process Innovation in Supply Chain Management with Coordination. Chapter 4 includes the contents of the second essay, Remanufacturing of Multi-Component Systems with Product Substitution , and the third essay, Joint Dynamic Pricing and Return Quality Strategies Under Demand Cannibalization, is introduced in Chapter 5. Chapter 6 gives the general concluding remarks of the three essays which is followed by the reference list and the appendices
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Chudoung, Jerawan. "Robust Control for Hybrid, Nonlinear Systems". Diss., Virginia Tech, 2000. http://hdl.handle.net/10919/26983.
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We develop the robust control theories of stopping-time nonlinear systems and switching-control nonlinear systems. We formulate a robust optimal stopping-time control problem for a state-space nonlinear system and give the connection between various notions of lower value function for the associated game (and storage function for the associated dissipative system) with solutions of the appropriate variational inequality (VI). We show that the stopping-time rule can be obtained by solving the VI in the viscosity sense. It also happens that a positive definite supersolution of the VI can be used for stability analysis. We also show how to solve the VI for some prototype examples with one-dimensional state space.
For the robust optimal switching-control problem, we establish the Dynamic Programming Principle (DPP) for the lower value function of the associated game and employ it to derive the appropriate system of quasivariational inequalities (SQVI) for the lower value vector function. Moreover we formulate the problem in the L2-gain/dissipative system framework. We show that, under appropriate assumptions, continuous switching-storage (vector) functions are characterized as viscosity supersolutions of the SQVI, and that the minimal such storage function is equal to the lower value function for the game. We show that the control strategy achieving the dissipative inequality is obtained by solving the SQVI in the viscosity sense; in fact this solution is also used to address stability analysis of the switching system. In addition we prove the comparison principle between a viscosity subsolution and a viscosity supersolution of the SQVI satisfying a boundary condition and use it to give an alternative derivation of the characterization of the lower value function. Finally we solve the SQVI for a simple one-dimensional example by a direct geometric construction.Ph. D.
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Wu, Xiaochi. "Jeux différentiels avec information incomplète : signaux et révélations". Thesis, Brest, 2018. http://www.theses.fr/2018BRES0023/document.
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Cette thèse concerne les jeux différentiels à somme nulle et à deux joueurs avec information incomplète. La structure de l'information est liée à un signal que reçoivent les joueurs. Cette information est dite symétrique quand la connaissance du signal est la même pour les deux joueurs (le signal est public), et asymétrique quand les signaux reçus par les joueurs peuvent être différents (le signal est privé).Ces signaux sont révélés au cours du jeu. Dans plusieurs situations de tels jeux, il est montré dans cette thèse, l'existence d'une valeur du jeu et sa caractérisation comme unique solution d'une équation aux dérivées partielles.Un type de structure d'information concerne le cas symétrique où le signal est réduit à la connaissance par les joueurs de l'état du système au moment où celui-ci atteint une cible donnée (les données initiales inconnues sont alors révélées). Pour ce type du jeu, nous avons introduit des stratégies non anticipatives qui dépendent du signal et nous avons obtenu l'existence d'une valeur.Comme les fonctions valeurs sont en général irrégulières (seulement continues), un des points clefs de notre approche est de prouver des résultats d'unicité et des principes de comparaison pour des solutions de viscosité lipschitziennes de nouveaux types d'équation d'Hamilton-Jacobi-Isaacs associées aux jeux étudiésIn this thesis we investigate two-person zero-sum differential games with incomplete information. The information structure is related to a signal communicated to the players during the game.In such games, the information is symmetric if both players receive the same signal (namely it is a public signal). Otherwise, if the players could receive different signals (i.e. they receive private signals), the information is asymmetric. We prove in this thesis the existence of value and the characterization of the value function by a partial differential equation for various types of such games.A particular type of such information structure is the symmetric case in which the players receive as their signal the current state of the dynamical system at the moment when the state of the dynamic hits a fixed target set (the unknown initial data are then revealed to both players). For this type of games, we introduce the notion of signal-depending non-anticipative strategies with delay and we prove the existence of value with such strategies.As the value functions are in general irregular (at most continuous), a crucial step of our approach is to prove the uniqueness results and the comparison principles for viscosity solutions of new types of Hamilton-Jacobi-Isaacs equation associated to the games studied in this thesis
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Mu, Rui. "Jeux différentiels stochastiques de somme non nulle et équations différentielles stochastiques rétrogrades multidimensionnelles". Thesis, Le Mans, 2014. http://www.theses.fr/2014LEMA1004/document.
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Cette thèse traite les jeux différentiels stochastiques de somme non nulle (JDSNN) dans le cadre de Markovien et de leurs liens avec les équations différentielles stochastiques rétrogrades (EDSR) multidimensionnelles. Nous étudions trois problèmes différents. Tout d'abord, nous considérons un JDSNN où le coefficient de dérive n'est pas borné, mais supposé uniquement à croissance linéaire. Ensuite certains cas particuliers de coefficients de diffusion non bornés sont aussi considérés. Nous montrons que le jeu admet un point d'équilibre de Nash via la preuve de l'existence de la solution de l'EDSR associée et lorsque la condition d'Isaacs généralisée est satisfaite. La nouveauté est que le générateur de l'EDSR, qui est multidimensionnelle, est de croissance linéaire stochastique par rapport au processus de volatilité. Le deuxième problème est aussi relatif au JDSNN mais les payoffs ont des fonctions d'utilité exponentielles. Les EDSRs associées à ce jeu sont de type multidimensionnelles et quadratiques en la volatilité. Nous montrons de nouveau l'existence d’un équilibre de Nash. Le dernier problème que nous traitons, est un jeu bang-bang qui conduit à des hamiltoniens discontinus. Dans ce cas, nous reformulons le théorème de vérification et nous montrons l’existence d’un équilibre de Nash qui est du type bang-bang, i.e., prenant ses valeurs sur le bord du domaine en fonction du signe de la dérivée de la fonction valeur ou du processus de volatilité. L'EDSR dans ce cas est un système multidimensionnel couplé, dont le générateur est discontinu par rapport au processus de volatilitéThis dissertation studies the multiple players nonzero-sum stochastic differential games (NZSDG) in the Markovian framework and their connections with multiple dimensional backward stochastic differential equations (BSDEs). There are three problems that we are focused on. Firstly, we consider a NZSDG where the drift coefficient is not bound but is of linear growth. Some particular cases of unbounded diffusion coefficient of the diffusion process are also considered. The existence of Nash equilibrium point is proved under the generalized Isaacs condition via the existence of the solution of the associated BSDE. The novelty is that the generator of the BSDE is multiple dimensional, continuous and of stochastic linear growth with respect to the volatility process. The second problem is of risk-sensitive type, i.e. the payoffs integrate utility exponential functions, and the drift of the diffusion is unbounded. The associated BSDE is of multi-dimension whose generator is quadratic on the volatility. Once again we show the existence of Nash equilibria via the solution of the BSDE. The last problem that we treat is a bang-bang game which leads to discontinuous Hamiltonians. We reformulate the verification theorem and we show the existence of a Nash point for the game which is of bang-bang type, i.e., it takes its values in the border of the domain according to the sign of the derivatives of the value function. The BSDE in this case is a coupled multi-dimensional system, whose generator is discontinuous on the volatility process
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Гусинін, Андрій Вячеславович, i Andrii V. Gusynin. "Методи розв’язання нелінійних задач оптимального керування рухом літальних апаратів на основі диференціальних перетворень". Thesis, Національний авіаційний університет, 2021. https://er.nau.edu.ua/handle/NAU/48739.
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Дисертаційна робота присвячена розвитку методів розв’язання нелінійних
задач оптимального керування рухом літальних апаратів (ЛА) на основі
диференціальних перетворень та їх застосуванню до оптимізації багатоетапного
виведення автономних безпілотних літальних апаратів (БЛА) у задані
термінальні умови.
Розвинута наукова та методична база для забезпечення розв’язання
нелінійних задач оптимального керування рухом ЛА на основі математичного
апарату диференціальних перетворень. Розвинуті та розроблені нові методи
розв’язання нелінійних звичайних диференціальних рівнянь, нелінійних
крайових задач та метод дискретно-аналітичного відображення в область
зображень (в спектральну модель) вихідної нелінійної математичної моделі
руху ЛА при виведенні у задані термінальні умови.
Розвинуто метод основних диференціальних перетворень в області
застосування до розв’язання нелінійних задач оптимального керування
багатоетапним рухом ЛА, що дало можливість спростити синтез алгоритмів
керування та отримати їх аналітичній формі. Розвинуті та розроблені нові
методи розв’язання нелінійних задач оптимального термінального,
багатокритерійного та гарантовано-адаптивного керування.
Розвинуті та розроблені нові методи розв’язання нелінійних задач
оптимального керування використані для синтезу оптимальних алгоритмів
термінального, багатокритерійного та гарантовано-адаптивного керування
виведенням авіаційно-космічної системи на орбіту, зльотом з виведенням на
задану висоту і посадкою безпілотного аеростатичного літального апарату.The thesis is dedicated to the evolution of methods for solving non-linear optimal control problems of aircraft motion based on differential transformations and their application for optimization of multistep delivering of autonomous unmanned aerial vehicles (UAVs) into desired terminal conditions. The scientific and methodological base has been developed to ensure the solution of non-linear problems of optimal aircraft motion control based on the mathematical apparatus of differential transformations. Advanced and developed new methods for solving non-linear ordinary differential equations, nonlinear boundary value problems and the method of discrete-analytical mapping into the image area (into a spectral model) of the initial non-linear mathematical model of aircraft motion at delivering into desired terminal conditions. The basic differential transform method in terms of its application for solving non-linear problems of optimal aircraft motion control has been advanced, which has made it possible to simplify the control algorithms synthesis and obtain them in analytical form. New methods for solving non-linear problems of optimal terminal, multicriteria and guaranteed-adaptive control have been advanced and developed.The advanced and developed new methods for solving non-linear problems of optimal control are used for optimal algorithms synthesis of terminal, multicriteria and guaranteed-adaptive control of the launching of an aerospace system into orbit, takeoff with delivering into desired altitude and landing of an autonomous unmanned aerostatic aircraft.
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Sanchis, Cano Ángel. "Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach". Doctoral thesis, Universitat Politècnica de València, 2018. http://hdl.handle.net/10251/102642.
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El mundo de las telecomunicaciones está cambiando de un escenario donde únicamente las personas estaban conectadas a un modelo donde prácticamente todos los dispositivos y sensores se encuentran conectados, también conocido como Internet de las cosas (IoT), donde miles de millones de dispositivos se conectarán a Internet a través de conexiones móviles y redes fijas. En este contexto, hay muchos retos que superar, desde el desarrollo de nuevos estándares de comunicación al estudio de la viabilidad económica de los posibles escenarios futuros. En esta tesis nos hemos centrado en el estudio de la viabilidad económica de diferentes escenarios mediante el uso de conceptos de microeconomía, teoría de juegos, optimización no lineal, economía de redes y redes inalámbricas. La tesis analiza la transición desde redes centradas en el servicio de tráfico HTC a redes centradas en tráfico MTC desde un punto de vista económico. El primer escenario ha sido diseñado para centrarse en las primeras etapas de la transición, en la que ambos tipos de tráfico son servidos bajo la misma infraestructura de red. En el segundo escenario analizamos la siguiente etapa, en la que el servicio a los usuarios MTC se realiza mediante una infraestructura dedicada. Finalmente, el tercer escenario analiza la provisión de servicios basados en MTC a usuarios finales, mediante la infraestructura analizada en el escenario anterior.
Gracias al análisis de todos los escenarios, hemos observado que la transición de redes centradas en usuarios HTC a redes MTC es posible y que la provisión de servicios en tales escenarios es viable. Además, hemos observado que el comportamiento de los usuarios es esencial para determinar la viabilidad de los diferentes modelos de negocio, y por tanto, es necesario estudiar el comportamiento y las preferencias de los usuarios en profundidad en estudios futuros. Específicamente, los factores más relevantes son la sensibilidad de los usuarios al retardo en los datos recopilados por los sensores y la cantidad de los mismos. También hemos observado que la diferenciación del tráfico en categorías mejora el uso de las redes y permite crear nuevos servicios empleando datos que, de otro modo, no se aprovecharían, lo cual nos permite mejorar la monetización de la infraestructura. También hemos demostrado que la provisión de capacidad es un mecanismo válido, alternativo a la fijación de precios, para la optimización de los beneficios de los proveedores de servicio. Finalmente, se ha demostrado que es posible crear roles específicos para ofrecer servicios IoT en el mercado de las telecomunicaciones, específicamente, los IoT-SPs, que proporcionan servicios basados en sensores inalámbricos utilizando infraestructuras de acceso de terceros y sus propias redes de sensores.
En resumen, en esta tesis hemos intentado demostrar la viabilidad económica de modelos de negocio basados en redes futuras IoT, así como la aparición de nuevas oportunidades y roles de negocio, lo cual nos permite justificar económicamente el desarrollo y la implementación de las tecnologías necesarias para ofrecer servicios de acceso inalámbrico masivo a dispositivos MTC.The communications world is moving from a standalone devices scenario to a all-connected scenario known as Internet of Things (IoT), where billions of devices will be connected to the Internet through mobile and fixed networks. In this context, there are several challenges to face, from the development of new standards to the study of the economical viability of the different future scenarios. In this dissertation we have focused on the study of the economic viability of different scenarios using concepts of microeconomics, game theory, non-linear optimization, network economics and wireless networks. The dissertation analyzes the transition from a Human Type Communications (HTC) to a Machine Type Communications (MTC) centered network from an economic point of view. The first scenario is designed to focus on the first stages of the transition, where HTC and MTC traffic are served on a common network infrastructure. The second scenario analyzes the provision of connectivity service to MTC users using a dedicated network infrastructure, while the third stage is centered in the analysis of the provision of services based on the MTC data over the infrastructure studied in the previous scenario. Thanks to the analysis of all the scenarios we have observed that the transition from HTC users-centered networks to MTC networks is possible and that the provision of services in such scenarios is viable. In addition, we have observed that the behavior of the users is essential in order to determine the viability of a business model, and therefore, it is needed to study their behavior and preferences in depth in future studios. Specifically, the most relevant factors are the sensitivity of the users to the delay and to the amount of data gathered by the sensors. We also have observed that the differentiation of the traffic in categories improves the usage of the networks and allows to create new services thanks to the data that otherwise would not be used, improving the monetization of the infrastructure and the data. In addition, we have shown that the capacity provision is a valid mechanism for providers' profit optimization, as an alternative to the pricing mechanisms. Finally, it has been demonstrated that it is possible to create dedicated roles to offer IoT services in the telecommunications market, specifically, the IoT-SPs, which provide wireless-sensor-based services to the final users using a third party infrastructure. Summarizing, this dissertation tries to demonstrate the economic viability of the future IoT networks business models as well as the emergence of new business opportunities and roles in order to justify economically the development and implementation of the new technologies required to offer massive wireless access to machine devices.
El món de les telecomunicacions està canviant d'un escenari on únicament les persones estaven connectades a un model on pràcticament tots els dispositius i sensors es troben connectats, també conegut com a Internet de les Coses (IoT) , on milers de milions de dispositius es connectaran a Internet a través de connexions mòbils i xarxes fixes. En aquest context, hi ha molts reptes que superar, des del desenrotllament de nous estàndards de comunicació a l'estudi de la viabilitat econòmica dels possibles escenaris futurs. En aquesta tesi ens hem centrat en l'estudi de la viabilitat econòmica de diferents escenaris per mitjà de l'ús de conceptes de microeconomia, teoria de jocs, optimització no lineal, economia de xarxes i xarxes inalàmbriques. La tesi analitza la transició des de xarxes centrades en el servici de tràfic HTC a xarxes centrades en tràfic MTC des d'un punt de vista econòmic. El primer escenari ha sigut dissenyat per a centrar-se en les primeres etapes de la transició, en la que ambdós tipus de tràfic són servits davall la mateixa infraestructura de xarxa. En el segon escenari analitzem la següent etapa, en la que el servici als usuaris MTC es realitza per mitjà d'una infraestructura dedicada. Finalment, el tercer escenari analitza la provisió de servicis basats en MTC a usuaris finals, per mitjà de la infraestructura analitzada en l'escenari anterior. Als paràgrafs següents es descriu amb més detall cada escenari. Gràcies a l'anàlisi de tots els escenaris, hem observat que la transició de xarxes centrades en usuaris HTC a xarxes MTC és possible i que la provisió de servicis en tals escenaris és viable. A més a més, hem observat que el comportament dels usuaris és essencial per a determinar la viabilitat dels diferents models de negoci, i per tant, és necessari estudiar el comportament i les preferències dels usuaris en profunditat en estudis futurs. Específicament, els factors més rellevants són la sensibilitat dels usuaris al retard en les dades recopilats pels sensors i la quantitat dels mateixos. També hem observat que la diferenciació del tràfic en categories millora l'ús de les xarxes i permet crear nous servicis emprant dades que, d'una altra manera, no s'aprofitarien, la qual cosa ens permet millorar la monetització de la infraestructura. També hem demostrat que la provisió de capacitat és un mecanisme vàlid, alternatiu a la fixació de preus, per a l'optimització dels beneficis dels proveïdors de servici. Finalment, s'ha demostrat que és possible crear rols específics per a oferir servicis IoT en el mercat de les telecomunicacions, específicament, els IoT-SPs, que proporcionen servicis basats en sensors inalàmbrics utilitzant infraestructures d'accés de tercers i les seues pròpies xarxes de sensors. En resum, en aquesta tesi hem intentat demostrar la viabilitat econòmica de models de negoci basats en xarxes futures IoT, així com l'aparició de noves oportunitats i rols de negoci, la qual cosa ens permet justificar econòmicament el desenrotllament i la implementació de les tecnologies necessàries per a oferir servicis d'accés inalàmbric massiu a dispositius MTC.
Sanchis Cano, Á. (2018). Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach [Tesis doctoral no publicada]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/102642
TESIS
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Fu, Guanxing. "Maximum Principle for Reflected BSPDE and Mean Field Game Theory with Applications". Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19248.
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Diese Arbeit behandelt zwei Gebiete: stochastische partielle Rückwerts-Differentialgleichungen (BSPDEs) und Mean-Field-Games (MFGs).
Im ersten Teil wird über eine stochastische Variante der De Giorgischen Iteration ein Maximumprinzip für quasilineare reflektierte BSPDEs (RBSPDEs) auf allgemeinen Gebieten bewiesen. Als Folgerung erhalten wir ein Maximumprinzip für RBSPDEs auf beschränkten, sowie für BSPDEs auf allgemeinen Gebieten. Abschließend wird das lokale Verhalten schwacher Lösungen untersucht.
Im zweiten Teil zeigen wir zunächst die Existenz von Gleichgewichten in MFGs mit singulärer Kontrolle. Wir beweisen, dass die Lösung eines MFG ohne Endkosten und ohne Kosten in der singulären Kontrolle durch die Lösungen eines MFGs mit strikt regulären Kontrollen approximiert werden kann. Die vorgelegten Existenz- und Approximationsresultat basieren entscheidend auf der Wahl der Storokhod M1 Topologie auf dem Raum der Càdlàg-Funktion.
Anschließend betrachten wir ein MFG optimaler Portfolioliquidierung unter asymmetrischer Information. Die Lösung des MFG charakterisieren wir über eine stochastische Vorwärts-Rückwärts-Differentialgleichung (FBSDE) mit singulärer Endbedingung der Rückwärtsgleichung oder alternativ über eine FBSDE mit endlicher Endbedingung, jedoch singulärem Treiber. Wir geben ein Fixpunktargument, um die Existenz und Eindeutigkeit einer Kurzzeitlösung in einem gewichteten Funktionenraum zu zeigen. Dies ermöglicht es, das ursprüngliche MFG mit entsprechenden MFGs ohne Zustandsendbedinung zu approximieren.
Der zweite Teil wird abgeschlossen mit einem Leader-Follower-MFG mit Zustandsendbedingung im Kontext optimaler Portfolioliquidierung bei hierarchischer
Agentenstruktur. Wir zeigen, dass das Problem beider Spielertypen auf singuläre FBSDEs zurückgeführt werden kann, welche mit ähnlichen Methoden wie im vorangegangen Abschnitt behandelt werden können.The thesis is concerned with two topics: backward stochastic partial differential equations and mean filed games. In the first part, we establish a maximum principle for quasi-linear reflected backward stochastic partial differential equations (RBSPDEs) on a general domain by using a stochastic version of De Giorgi’s iteration. The maximum principle for RBSPDEs on a bounded domain and the maximum principle for BSPDEs on a general domain are obtained as byproducts. Finally, the local behavior of the weak solutions is considered. In the second part, we first establish the existence of equilibria to mean field games (MFGs) with singular controls. We also prove that the solutions to MFGs with no terminal cost and no cost from singular controls can be approximated by the solutions, respectively control rules, for MFGs with purely regular controls. Our existence and approximation results strongly hinge on the use of the Skorokhod M1 topology on the space of càdlàg functions. Subsequently, we consider an MFG of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a forward backward stochastic differential equation (FBSDE) with possibly singular terminal condition on the backward component or, equivalently, in terms of an FBSDE with finite terminal value, yet singular driver. We apply the fixed point argument to prove the existence and uniqueness on a short time horizon in a weighted space. Our existence and uniqueness result allows to prove that our MFG can be approximated by a sequence of MFGs without state constraint. The final result of the second part is a leader follower MFG with terminal constraint arising from optimal portfolio liquidation between hierarchical agents. We show the problems for both follower and leader reduce to the solvability of singular FBSDEs, which can be solved by a modified approach of the previous result.
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Berthod, Mathias. "Strategic interactions in the management of fossil fuels : three essays on game theory in natural resource economics". Thesis, Paris 1, 2018. http://www.theses.fr/2018PA01E020.
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Dans le cadre de cette thèse, je m'intéresse à la gestion des combustibles fossiles (pétrole, gaz naturel, charbon) en présence d'interactions stratégiques entre différents types d'agents. Dans un premier temps, j'étudie sous quelles conditions deux firmes asymétriques, exploitant une ressource non renouvelable, peuvent s'entendre autour d'un accord de coopération et ainsi former un cartel. J'analyse en particulier l'ensemble des accords possibles ainsi que la possibilité que ceux-ci soient acceptés par toutes les parties prenantes. Dans un second temps, je m'intéresse plus spécifiquement à l'incitation des pays membres du cartel de l'Opep à surestimer ou sous-estimer leurs réserves de pétrole depuis l'instauration du système des quotas de production en 1982. Enfin, je caractérise la politique optimale d'un gouvernement en faveur du développement des technologies backstop au travers de subventions en R&D afin d'assurer la transition énergétique depuis des énergies fossiles polluantes à des énergies renouvelables non polluantes. Mais, je fais cette analyse dans le contexte où la production est contrôlée par une firme indépendante et lorsque le gouvernement ne peut pas implémenter une taxe sur les émissions. Un point commun de ces trois chapitres est la présence d'agents ayant des intérêts divergents. D'un point de vue méthodologique, j'utilise la théorie des jeux et, en particulier, les jeux différentiels dans les deux premiers chapitresThis dissertation provides an analysis of the management of fossil fuels (oil, gas, coal) in the presence of strategic interactions between different types of agents. First, I study under which conditions two asymmetric firms, extracting a nonrenewable resource, may agree upon a cooperative agreement and, thus, merge into a cartel. I analyse, in particular, the set of feasible agreements and the possibility that every players accept one of them. Second, I focus more specifically on the incentives for the Opec members to over-report or under-report their oil reserves since the set of production quotas in 1982. Third, I characterize the optimal policy of a government in favor of the developing of backstop technologies through R&D subsidies in order to ensure the ecological transition from polluting fossil fuels to non-polluting renewable energies. However, I conduct this analysis in the context where the supply is controlled by an independent firm and when the government cannot implement a Pigovian tax on emissions. A common theme of these different chapters is the presence of agents whose interests are contradictory. From a methodological point of view, I use game theory and, in particular, differential games in the two first chapters
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Backlund, Kenneth. "Nuclear power policy as a differential game". Umeå universitet, Institutionen för nationalekonomi, 2000. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73546.
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This paper examines nuclear energy output in a differential game framework involving two countries. The countries differ regarding nuclear technology with one being relatively safe and the other less safe. Simulation of a numerical model gives the following results, (i) A cooperative agreement will imply less use of nuclear energy compared with both a noncooperative Nash equilibrium and an uncontrolled market solution, (ii) The country with relatively safe nuclear energy technology benefits most from a cooperative solution, (iii) Starting from an uncontrolled market economy, an agreement between the countries to introduce taxation of nuclear energy will be beneficial for both countries. However, by starting from the noncooperative Nash equilibrium, an agreement to slightly increase the nuclear energy taxes will be most beneficial for the country with less safe nuclear energy technology.digitalisering@umu
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Johnson, Philip A. (Philip Arthur). "Numerical solution methods for differential game problems". Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/50600.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 2009.Includes bibliographical references (p. 95-98).
Differential game theory provides a potential means for the parametric analysis of combat engagement scenarios. To determine its viability for this type of analysis, three frameworks for solving differential game problems are evaluated. Each method solves zero-sum, pursuit-evasion games in which two players have opposing goals. A solution to the saddle-point equilibrium problem is sought in which one player minimizes the value of the game while the other player maximizes it. The boundary value method is an indirect method that makes use of the analytical necessary conditions of optimality and is solved using a conventional optimal control framework. This method provides a high accuracy solution but has a limited convergence space that requires a good initial guess for both the state and less intuitive costate. The decomposition method in which optimal trajectories for each player are iteratively calculated is a direct method that bypasses the need for costate information. Because a linearized cost gradient is used to update the evader's strategy the initial conditions can heavily influence the convergence of the problem. The new method of neural networks involves the use of neural networks to govern the control policy for each player. An optimization tool adjusts the weights and biases of the network to form the control policy that results in the best final value of the game. An automatic differentiation engine provides gradient information for the sensitivity of each weight to the final cost.
(cont.) The final weights define the control policy's response to a range of initial conditions dependent upon the breadth of the state-space used to train each neural network. The neural nets are initialized with a normal distribution of weights so that no information regarding the state, costate, or switching structure of the controller is required. In its current form this method often converges to a sub-optimal solution. Also, creative techniques are required when dealing with boundary conditions and free end-time problems.
by Philip A. Johnson.
S.M.
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Altman, Eitan El-Azouzi Rachid Ros David Tuffin Bruno Barman Dhiman. "Pricing differential services a game-theoretic approach /". Villeurbanne : HAL, 2006. http://hal.archives-ouvertes.fr/docs/00/07/16/33/PDF/RR-4946.pdf.
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Piozin, Lambert. "Quelques résultats sur les équations rétrogrades et équations aux dérivées partielles stochastiques avec singularités". Thesis, Le Mans, 2015. http://www.theses.fr/2015LEMA1004/document.
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Cette thèse est consacrée à l'étude de quelques problèmes dans le domaine des équations différentielles stochastiques rétrogrades (EDSR), et leurs applications aux équations aux dérivées partielles.Dans le premier chapitre, nous introduisons la notion d'équation différentielle doublement stochastique rétrograde (EDDSR) avec condition terminale singulière. Nous étudions d’abord les EDDSR avec générateur monotone, et obtenons ensuite un résultat d'existence par un schéma d'approximation. Une dernière section établit le lien avec les équations aux dérivées partielles stochastiques, via l'approche solution faible développée par Bally, Matoussi en 2001.Le deuxième chapitre est consacré aux EDSR avec condition terminale singulière et sauts. Comme dans le chapitre précédent la partie délicate sera de prouver la continuité en T. Nous formulons des conditions suffisantes sur les sauts afin d'obtenir cette dernière. Une section établit ensuite le lien entre solution minimale de l'EDSR et équations intégro-différentielles. Enfin le dernier chapitre est dédié aux équations différentielles stochastiques rétrogrades du second ordre (2EDSR) doublement réfléchies. Nous avons établi l'existence et l'unicité de telles équations. Ainsi, il nous a fallu dans un premier temps nous concentrer sur le problème de réflexion par barrière supérieure des 2EDSR. Nous avons ensuite combiné ces résultats à ceux existants afin de donner un cadre correct aux 2EDSRDR. L'unicité est conséquence d'une propriété de représentation et l'existence est obtenue en utilisant les espaces shiftés, et les distributions de probabilité conditionnelles régulières. Enfin une application aux jeux de Dynkin et aux options Israëliennes est traitée dans la dernière sectionThis thesis is devoted to the study of some problems in the field of backward stochastic differential equations (BSDE), and their applications to partial differential equations.In the first chapter, we introduce the notion of backward doubly stochastic differential equations (BDSDE) with singular terminal condition. A first work consists to study the case of BDSDE with monotone generator. We then obtain existing result by an approximating scheme built considering a truncation of the terminal condition. The last part of this chapter aim to establish the link with stochastic partial differential equations, using a weak solution approach developed by Bally, Matoussi in 2001.The second chapter is devoted to the BSDEs with singular terminal conditions and jumps. As in the previous chapter the tricky part will be to prove continuity in T. We formulate sufficient conditions on the jumps in order to obtain it. A section is then dedicated to establish a link between a minimal solution of our BSDE and partial integro-differential equations.The last chapter is dedicated to doubly reflected second order backward stochastic differential equations (2DRBSDE). We have been looking to establish existence and uniqueness for such equations. In order to obtain this, we had to focus first on the upper reflection problem for 2BSDEs. We combined then these results to those already existing to give a well-posedness context to 2DRBSDE. Uniqueness is established as a straight consequence of a representation property. Existence is obtained using shifted spaces, and regular conditional probability distributions. A last part is then consecrated to the link with some Dynkin games and Israeli options
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Gordon, Dinah Rose. "Applications of nonstandard analysis in differential game theory". Thesis, University of Hull, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.318386.
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Shrestha, Bikash. "An Engage or Retreat Differential Game with Two Targets". Wright State University / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=wright1503319559060634.
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Treacy, Brian. "A stochastic differential equation derived from evolutionary game theory". Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-377554.
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Chandrasekar, Swathi. "An Engage or Retreat differential game with Mobile Agents". Wright State University / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=wright1503716818890551.
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