Events Calendar

Games with Exhaustible Resources

Presented by the Math Finance ColloquiumTitle: "Games with Exhaustible Resources"Guest Speaker: Ronnie Sircar, Department of Operations Research and Financial Engineering Princeton UniversityABSTRACT: We study N-player repeated Cournot competitions that model the determination of price in an oligopoly where firms choose quantities.
These are nonzero-sum (ordinary and stochastic) differential games, whose value functions may be characterized by systems of nonlinear Hamilton-Jacobi-Bellman partial differential equations. When the quantity being produced is in finite supply, such as oil, exhaustibility enters as boundary conditions for the PDEs. We analyze the problem when there is an alternative, but expensive, resource (for example solar technology for energy production), and give an asymptotic approximation in the limit of small exhaustibility. We illustrate the two-player problem by numerical solutions, and discuss the impact of limited oil reserves on production and oil prices in the dupoly case.This is a joint work with Chris Harris and Sam Howison.FRIDAY, JANUARY 22, 2010, 3:30 PM, KAP 414

Location: Kaprielian Hall (KAP) - 414

Audiences: Everyone Is Invited

Contact: Georgia Lum