Akciju birzos Nash'o modelis


Ieškom tokiu $(p_1,p_2)$ kuriu keisti neapsimoka.
Naudojam mišrias strategijas

\begin{eqnarray}x_{p_i},\ i=1,2,\ p_i=1,...,P_i,\ \sum_{p_i=1}^{P_i} x_{p_i}=1,\ \\
0 \le x_{p_i} \le 1. \nonumber
\end{eqnarray}


kur $x_{p_i}$ tai tikymybe, kad "atsiminsim" $p_i$ "dienu".
"Apgavinis" vektorius:

\begin{eqnarray}x_{p_1}^1= \arg \max_{x_{p_1}} u_1^K(T_0,T,x_{p_1},x_{p_2}^0),\\
x_{p_2}^1= \arg \max_{x_{p_2}} u_1^K(T_0,T,x_{p_1}^0,x_{p_2})
\end{eqnarray}


kur $x_{p_i}^0,\ i=1,2$ sutartinis vektorius.



jonas mockus 2004-03-01