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LQ Dynamic Optimization and Differential Games
LQ Dynamic Optimization and Differential Games Author:Jacob Engwerda 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 econom... more »ics 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.« less