Linear Quadratic Games: An Overview

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 considered.The overview is based on [9].Readers interested in detailed proofs and additional results are referred to this book.

Estimating structural exchange rate models by artificial neural networks

No theory of structural exchange rate determination has yet been found that performs well in prediction experiments. Only very seldom has the simple random walk model been significantly outperformed. Referring to three, sometimes highly nonlinear, monetary and nonmonetary structural exchange rate models, a feedforward artificial neural network specification is investigated to determine whether it improves the prediction performance of structural and random walk exchange rate models. A new test for univariate nonlinear cointegration is also derived. Important nonlinearities are not detected for monthly data of US dollar rates in Deutsche marks, Dutch guilders, British pounds and Japanese yens.

Feedback Nash Equilibria for Linear Quadratic Descriptor Differential Games

In this note we consider the non-cooperative linear feedback Nash quadratic differential game with an infinite planning horizon for descriptor systems of index one. The performance function is assumed to be indefinite. We derive both necessary and sufficient conditions under which this game has a Nash equilibrium.