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
相关论文
共 50 条
  • [31] COMPARISON OF DISCRETE DISCOUNTING AND NON-CONSTANT EXPONENTIAL DISCOUNTING APPROACHES TO CALCUATE FUTURE GAINS IN QUALITY-ADJUSTED LIFE-YEARS
    Garg, V
    Raisch, D. W.
    [J]. VALUE IN HEALTH, 2012, 15 (04) : A164 - A164
  • [32] A time consistent dynamic bargaining procedure in differential games with hterogeneous discounting
    Castaner, Anna
    Marin-Solano, Jesus
    Ribas, Carmen
    [J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2021, 93 (03) : 555 - 584
  • [33] Soliton with non-constant velocity
    Zenchuk, AI
    [J]. MATHEMATICS AND COMPUTERS IN SIMULATION, 2003, 62 (1-2) : 191 - 201
  • [34] Uniqueness of the solution of a partial differential equation problem with a non-constant coefficient
    Lopes, Ernesto Prado
    Linhares de Mattos, Jose Roberto
    [J]. PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY, 2008, 136 (06) : 2201 - 2207
  • [35] ON LOCALLY NON-CONSTANT MAPPINGS
    OMILJANOWSKI, K
    [J]. BOLLETTINO DELLA UNIONE MATEMATICA ITALIANA, 1985, 4A (01): : 119 - 122
  • [36] A Differential Game with Random Time Horizon and Discontinuous Distribution
    Zaremba, Anastasiia
    Gromova, Ekaterina
    Tur, Anna
    [J]. MATHEMATICS, 2020, 8 (12) : 1 - 21
  • [37] A note on payments in the lab for infinite horizon dynamic games with discounting
    Arun Gautham Chandrasekhar
    Juan Pablo Xandri
    [J]. Economic Theory, 2023, 75 : 389 - 426
  • [38] A note on payments in the lab for infinite horizon dynamic games with discounting
    Chandrasekhar, Arun Gautham
    Xandri, Juan Pablo
    [J]. ECONOMIC THEORY, 2023, 75 (02) : 389 - 426
  • [39] An electro-viscoelastic micromechanical model with non-constant relaxation time
    Waluyo, Sugeng
    [J]. ACTA MECHANICA, 2022, 233 (11) : 4505 - 4522
  • [40] A solution for non-constant mean open time in homogeneous Markov models
    Fraiman, D
    Dawson, SP
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2003, 327 (1-2) : 162 - 167
12345