LQ Dynamic Optimization and Differential Games

J.C. Engwerda

498 pages, parution le 27/05/2005

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Résumé

A self-contained introduction to an extensively used of economic models.

"Linear Quadratic Differential Games" is an assessment of the state of the art in its field and modern book on linear-quadratic game theory, one of the most commonly used tools for modelling and analysing strategic decision making problems in economics and management. Linear quadratic dynamic models have a long tradition in economics, operations research and control engineering; and the author begins by describing the one-decision maker LQ dynamic optimization problem before introducing LQ differential games.

Covers cooperative and non-cooperative scenarios, and treats the standard information structures (open-loop and feedback).
Includes real-life economic examples to illustrate theoretical concepts and results.
Presents problem formulations and sound mathematical problem analysis.
Includes exercises and solutions, enabling use for self-study or as a course text.
Supported by a website featuring solutions to exercises, further examples and computer code for numerical examples.

This comprehensive introduction will appeal to applied mathematicians and econometricians as well as researchers and senior undergraduate/ graduate students in economics, mathematics, engineering and management science.

Sommaire

Preface
Notation and symbols
Introduction
Linear algebra
Dynamical systems
Optimization techniques
Regular linear quadratic optimal control
Cooperative games
Non-cooperative open-loop information games
Non-cooperative feedback information games
Uncertain non-cooperative feedback information games
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	J.C. Engwerda
Parution	27/05/2005
Nb. de pages	498
Format	17 x 25
Couverture	Relié
Poids	1114g
Intérieur	Noir et Blanc
EAN13	9780470015247
ISBN13	978-0-470-01524-7