In this note we consider the cooperative linear quadratic control problem. That is, the problem where a number of players, all facing a (different) linear quadratic control problem, decide to cooperate in order to optimize their performance.It is well-known, in case the performance criteria are...

Low probability catastrophic climate change can have a significant influence on policy under hyperbolic discounting. We compare the set of Markov Perfect Equilibria (MPE) to the optimal policy under time-consistent commitment. For some initial levels of risk there are multiple MPE; these may...

We use minority game model to investigate evolutionary dynamics in complex networks of adaptive agents competing for limited resources. We show that the dynamics and the associated phase structures critically depend on the underlying network organizations, and evolution is a key mechanism for...

This paper investigates strategic investment policies in a duopolistic continuous-time real options game. Our contribution is twofold, economic and methodological. The former is the recognition that, under fixed costs of investment and time-to-build, a firm's exercise of its capital-replacement...

An optimum of a Markov decision process (MDP) is said to be myopic if it can be specified by solving a series of static problems. We identify new classes of MDPs with myopic optima and sequential games with myopic equilibrium points. In one of the classes the single-period reward is homogeneous...

In this note we consider the static output feedback linear quadratic control problem. We present both necessary and sufficient conditions under which this problem has a solution in case the involved cost depend only on the output and control variables. This result is used to present both...

In this paper we review some basic results on linear quadratic differential games. We consider both the cooperative and non-cooperative case.For the non-cooperative game we consider the open-loop and (linear) feedback information structure. Furthermore the effect of adding uncertainty is...

In this paper we review a number of algorithms to compute Nash equilibria in deterministic linear quadratic differential games. We will review the open-loop and feedback information case. In both cases we address both the finite and the infinite-planning horizon

This paper studies robust control problems when policy is set with commitment. One contribution of the paper is to articulate an approximating equilibrium that differs importantly from that developed in Hansen and Sargent (2003). The paper illustrates how the proposed approximating equilibrium...

In this article we show how the classical probabilistic technique of Malliavin calculus can be applied to study interesting aspects in the theory of stochastic differential games. These include in particular the aspect of information asymmetry. We identify the limitations of the classical setup...