Optimal switching from competition to cooperation: a preliminary exploration
Résumé
In this paper, we tackle a generic optimal regime switching problem where the decision-making process is not the same from one regime to another. Precisely, we consider a simple model of optimal switching from competition to cooperation. To this end, we solve a two-stage optimal control problem. In the first stage, two players engage in a dynamic game with a common state variable and one control for each player. We solve for open-loop strategies with a linear state equation and linear-quadratic payoffs. More importantly, the players may also consider the possibility to switch at finite time to a cooperative regime with the associated joint optimization of the sum of the individual payoffs. Using theoretical analysis and numerical exercises, we study the optimal switching strategy from competition to cooperation. We also discuss reverse switching.
Format du dépôt | Notice |
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Type de dépôt | Chapitre d'ouvrage |
Titre |
en
Optimal switching from competition to cooperation: a preliminary exploration
|
Résumé |
en
In this paper, we tackle a generic optimal regime switching problem where the decision-making process is not the same from one regime to another. Precisely, we consider a simple model of optimal switching from competition to cooperation. To this end, we solve a two-stage optimal control problem. In the first stage, two players engage in a dynamic game with a common state variable and one control for each player. We solve for open-loop strategies with a linear state equation and linear-quadratic payoffs. More importantly, the players may also consider the possibility to switch at finite time to a cooperative regime with the associated joint optimization of the sum of the individual payoffs. Using theoretical analysis and numerical exercises, we study the optimal switching strategy from competition to cooperation. We also discuss reverse switching.
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Auteur(s) |
Raouf Boucekkine
1
, Carmen Camacho
2, 3
, Benteng Zou
4
1
AMSE -
Aix-Marseille Sciences Economiques
( 526949 )
- 5-9 Boulevard Bourdet
CS 50498
13205 Marseille Cedex 1
- France
2
PJSE -
Paris Jourdan Sciences Economiques
( 578027 )
- 48 boulevard Jourdan 75014 Paris
- France
3
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
4
University of Luxembourg [Luxembourg]
( 366875 )
- Campus Kirchberg
6, rue Richard Coudenhove-Kalergi
L-1359 Luxembourg
Campus de Limpertsberg
162a, avenue de la Faïencerie
L-1511 Luxembourg
Campus de Belval
2, avenue de l'Université
L-4365 Esch-sur-Alzette
- Luxembourg
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ISBN |
978-3-030-54575-8
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Langue du document |
Anglais
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Date de production/écriture |
2019-12
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Titre de l'ouvrage |
Dynamic Economic Problems with Regime Switches
|
Vulgarisation |
Non
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Audience |
Internationale
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Date de publication |
2021
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Public visé |
Scientifique
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Titre de la collection |
Dynamic Modeling and Econometrics in Economics and Finance
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Page/Identifiant |
209-225
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URL éditeur |
https://link.springer.com/chapter/10.1007/978-3-030-54576-5_9
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Domaine(s) |
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Éditeur scientifique |
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Éditeur commercial |
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Mots-clés |
en
cooperation, competition, dynamic games, multi-stage optimal control
|
DOI | 10.1007/978-3-030-54576-5_9 |
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