Non-constant discounting and differential games with random time horizon

被引：54
|
作者：
Marin-Solano, Jesus [1 ]
Shevkoplyas, Ekaterina V. [2 ]
机构：
[1] Univ Barcelona, Dep Matemat Econ Financera & Actuarial, Barcelona 08034, Spain
[2] St Petersburg State Univ, Dept Math Game Theory & Stat Decis, St Petersburg 198504, Russia
来源：
AUTOMATICA | 2011年 / 47卷 / 12期
关键词：
Non-constant discounting; Naive and sophisticated agents; Random duration; Differential games; Non-renewable resources; SHAPLEY VALUE; EQUILIBRIA;
D O I：
10.1016/j.automatica.2011.09.010
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Previous results on non-constant discounting in continuous time are extended to the field of deterministic differential games with a stochastic terminal time. A dynamic programming equation is derived for problems with general time inconsistent preferences and random duration. Different cooperative and non-cooperative solution concepts for differential games with random duration are analyzed. The results are illustrated by solving the cake-eating problem describing the classical model of management of a nonrenewable resource. (C) 2011 Elsevier Ltd. All rights reserved.
引用
收藏
页码：2626 / 2638
页数：13
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