LQ Dynamic Optimization and Differential Games
Jacob EngwerdaISBN: 0470015241; 9780470015247;
Book DescriptionA 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...