卡巴莱罗-恩格尔与拉斯里-狮子相遇:一个独特的结果
Fernando Alvarez1, Francesco Lippi2, Panagiotis Souganidis3
1University of Chicago and NBER, Chicago, USA.
概括
这项研究证明了与冲动控制的平均场游戏 (MFGs) 中的平衡独特性,将之前的工作扩展到非凸的调整成本和通用危险函数.
科学领域:
- 经济学 经济学 经济学
- 游戏理论 游戏理论
- 数学金融数学金融
背景情况:
- 平均场地游戏 (MFGs) 模型决策者受到州分布的影响.
- 现有的模型往往侧重于漂移控制,限制了非凸成本的应用.
研究的目的:
- 在一类具有冲动控制的MFG中建立平衡的独特性.
- 将MFG分析扩展到非凸起的调整成本和一般化危险函数的问题.
主要方法:
- 为冲动控制问题引入了"冲动哈密尔顿式"的概念.
- 使用单调性假设 (战略可替代性) 来证明独特性.
主要成果:
- 证明了在研究的MFGs类中平衡的独特性.
- 证明冲动哈密尔顿式起着关键作用,类似于经典的哈密尔顿式.
结论:
- 该框架适应了非凸起的调整成本问题,扩大了MFG的适用性.
- 冲动哈密尔顿式对于在单调性下分析冲动控制MFG至关重要.
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