Feedback solution of a class of differential games with endogenous horizons

David W. K. Yeung

doi:10.1023/A:1004665614745

Feedback solution of a class of differential games with endogenous horizons

David W. K. Yeung^*

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › peer-review

2 Citations (Scopus)

Abstract

In this paper, we consider a class of differential games in which the game ends when a subset of its state variables reaches a certain target at the terminal time. A special feature of the game is that its horizon is not fixed at the outset, but is determined endogenously by the actions of the players; conditions characterizing a feedback Nash equilibrium (FNE) solution of the game are derived for the first time. Extensions and illustrations of the derivation of FNE solutions of the game are provided.

Original language	English
Pages (from-to)	657-675
Number of pages	19
Journal	Journal of Optimization Theory and Applications
Volume	106
Issue number	3
DOIs	https://doi.org/10.1023/A:1004665614745
Publication status	Published - Sept 2000
Externally published	Yes

Scopus Subject Areas

Management Science and Operations Research
Control and Optimization
Applied Mathematics

User-Defined Keywords

Differential games
Feedback Nash equilibrium
Endogenous horizons

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10.1023/A:1004665614745

Cite this

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title = "Feedback solution of a class of differential games with endogenous horizons",

abstract = "In this paper, we consider a class of differential games in which the game ends when a subset of its state variables reaches a certain target at the terminal time. A special feature of the game is that its horizon is not fixed at the outset, but is determined endogenously by the actions of the players; conditions characterizing a feedback Nash equilibrium (FNE) solution of the game are derived for the first time. Extensions and illustrations of the derivation of FNE solutions of the game are provided.",

keywords = "Differential games, Feedback Nash equilibrium, Endogenous horizons",

author = "Yeung, {David W. K.}",

note = "Funding Information: 1The author would like to thank Dean Carlson, Leon Petrosjan, and an anonymous referee for invaluable comments and excellent suggestions. Financial support from the Research Grant Council of Hong Kong, Grant #2056/99H, and the Hong Kong Baptist University FRG Grants is gratefully acknowledged. 2Professor, Department of Finance and Decision Sciences, Hong Kong Baptist University, Hong Kong, PRC; Co-director, Center for Game Theory, Faculty of Applied Mathematics and Control Processes, St. Petersburg University, St. Petersburg, Russia.",

year = "2000",

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doi = "10.1023/A:1004665614745",

language = "English",

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AU - Yeung, David W. K.

N1 - Funding Information: 1The author would like to thank Dean Carlson, Leon Petrosjan, and an anonymous referee for invaluable comments and excellent suggestions. Financial support from the Research Grant Council of Hong Kong, Grant #2056/99H, and the Hong Kong Baptist University FRG Grants is gratefully acknowledged. 2Professor, Department of Finance and Decision Sciences, Hong Kong Baptist University, Hong Kong, PRC; Co-director, Center for Game Theory, Faculty of Applied Mathematics and Control Processes, St. Petersburg University, St. Petersburg, Russia.

PY - 2000/9

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N2 - In this paper, we consider a class of differential games in which the game ends when a subset of its state variables reaches a certain target at the terminal time. A special feature of the game is that its horizon is not fixed at the outset, but is determined endogenously by the actions of the players; conditions characterizing a feedback Nash equilibrium (FNE) solution of the game are derived for the first time. Extensions and illustrations of the derivation of FNE solutions of the game are provided.

AB - In this paper, we consider a class of differential games in which the game ends when a subset of its state variables reaches a certain target at the terminal time. A special feature of the game is that its horizon is not fixed at the outset, but is determined endogenously by the actions of the players; conditions characterizing a feedback Nash equilibrium (FNE) solution of the game are derived for the first time. Extensions and illustrations of the derivation of FNE solutions of the game are provided.

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KW - Feedback Nash equilibrium

KW - Endogenous horizons

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AN - SCOPUS:0034336682

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SP - 657

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JO - Journal of Optimization Theory and Applications

JF - Journal of Optimization Theory and Applications

IS - 3

ER -

Feedback solution of a class of differential games with endogenous horizons

Abstract

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