The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Xun Yu Zhou - One of the best experts on this subject based on the ideXlab platform.
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time inconsistent stochastic linear quadratic control characterization and uniqueness of Equilibrium
Siam Journal on Control and Optimization, 2017Co-Authors: Hanqing Jin, Xun Yu ZhouAbstract:In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic control problem originally formulated in [Y. Hu, H. Jin, and X. Y. Zhou, SIAM J. Control. Optim., 50 (2012), pp. 1548--1572]. We derive a necessary and sufficient condition for Equilibrium controls via a flow of forward--backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the explicit Equilibrium control constructed in [Y. Hu, H. Jin, and X. Y. Zhou, SIAM J. Control. Optim., 50 (2012), pp. 1548--1572] is indeed unique. Our proof is based on the derived equivalent condition for equilibria as well as a stochastic version of the Lebesgue differentiation theorem. Finally, we show that the Equilibrium Strategy is unique for a mean-variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic pro...
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Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium
SIAM Journal on Control and Optimization, 2017Co-Authors: Hanqing Jin, Xun Yu ZhouAbstract:In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for Equilibrium controls via a flow of forward--backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the explicit Equilibrium control constructed in \cite{HJZ} is indeed unique. Our proof is based on the derived equivalent condition for equilibria as well as a stochastic version of the Lebesgue differentiation theorem. Finally, we show that the Equilibrium Strategy is unique for a mean--variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes.
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time inconsistent stochastic linear quadratic control characterization and uniqueness of Equilibrium
Social Science Research Network, 2015Co-Authors: Hanqing Jin, Xun Yu ZhouAbstract:In this paper, we continue our study on a general time-inconsistent stochastic linear-quadratic (LQ) control problem originally formulated in Hu, Jin and Zhou (2012). We derive a necessary and sufficient condition for Equilibrium controls via a flow of forward-backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the explicit Equilibrium control constructed in Hu, Jin and Zhou (2012) is indeed unique. Our proof is based on the derived equivalent condition for equilibria as well as a stochastic version of the Lebesgue differentiation theorem. Finally, we show that the Equilibrium Strategy is unique for a mean-variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes.
Hanqing Jin - One of the best experts on this subject based on the ideXlab platform.
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time inconsistent stochastic linear quadratic control characterization and uniqueness of Equilibrium
Siam Journal on Control and Optimization, 2017Co-Authors: Hanqing Jin, Xun Yu ZhouAbstract:In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic control problem originally formulated in [Y. Hu, H. Jin, and X. Y. Zhou, SIAM J. Control. Optim., 50 (2012), pp. 1548--1572]. We derive a necessary and sufficient condition for Equilibrium controls via a flow of forward--backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the explicit Equilibrium control constructed in [Y. Hu, H. Jin, and X. Y. Zhou, SIAM J. Control. Optim., 50 (2012), pp. 1548--1572] is indeed unique. Our proof is based on the derived equivalent condition for equilibria as well as a stochastic version of the Lebesgue differentiation theorem. Finally, we show that the Equilibrium Strategy is unique for a mean-variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic pro...
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Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium
SIAM Journal on Control and Optimization, 2017Co-Authors: Hanqing Jin, Xun Yu ZhouAbstract:In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for Equilibrium controls via a flow of forward--backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the explicit Equilibrium control constructed in \cite{HJZ} is indeed unique. Our proof is based on the derived equivalent condition for equilibria as well as a stochastic version of the Lebesgue differentiation theorem. Finally, we show that the Equilibrium Strategy is unique for a mean--variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes.
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time inconsistent stochastic linear quadratic control characterization and uniqueness of Equilibrium
Social Science Research Network, 2015Co-Authors: Hanqing Jin, Xun Yu ZhouAbstract:In this paper, we continue our study on a general time-inconsistent stochastic linear-quadratic (LQ) control problem originally formulated in Hu, Jin and Zhou (2012). We derive a necessary and sufficient condition for Equilibrium controls via a flow of forward-backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the explicit Equilibrium control constructed in Hu, Jin and Zhou (2012) is indeed unique. Our proof is based on the derived equivalent condition for equilibria as well as a stochastic version of the Lebesgue differentiation theorem. Finally, we show that the Equilibrium Strategy is unique for a mean-variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes.
Michal Ramsza - One of the best experts on this subject based on the ideXlab platform.
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imagine self perspective taking and rational self interested behavior in a simple experimental normal form game
Frontiers in Psychology, 2017Co-Authors: Adam Karbowski, Michal RamszaAbstract:The purpose of this study is to explore the link between imagine-self perspective-taking and rational self-interested behavior in experimental normal-form games. Drawing on the concept of sympathy developed by Adam Smith and further literature on perspective taking in games, we hypothesize that introduction of imagine-self perspective-taking by decision-makers promotes rational self-interested behavior in a simple experimental normal-form game. In our study, we examined behavior of 404 undergraduate students in the two-person game, in which the participant can suffer a monetary loss only if she plays her Nash Equilibrium Strategy and the opponent plays her dominated Strategy. Results suggest that the threat of suffering monetary losses effectively discourages the participants from choosing Nash Equilibrium Strategy. In general, players may take into account that opponents choose dominated strategies due to specific not self-interested motivations or errors. However, adopting imagine-self perspective by the participants leads to more Nash Equilibrium choices, perhaps by alleviating participants’ attributions of susceptibility to errors or non-self-interested motivation to the opponents.
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imagine self perspective taking and rational self interested behavior in a simple experimental normal form game
EconStor Open Access Articles, 2017Co-Authors: Adam Karbowski, Michal RamszaAbstract:The purpose of this study is to explore the link between imagine-self perspective-taking and rational self-interested behavior in experimental normal-form games. Drawing on the concept of sympathy developed by Adam Smith and further literature on perspective taking in games, we hypothesize that introduction of imagine-self perspective-taking by decision-makers promotes rational self-interested behavior in a simple experimental normal-form game. In our study, we examined behavior of 404 undergraduate students in the two-person game, in which the participant can suffer a monetary loss only if she plays her Nash Equilibrium Strategy and the opponent plays her dominated Strategy. Results suggest that the threat of suffering monetary losses effectively discourages the participants from choosing Nash Equilibrium Strategy. In game theory terms, the participants may rationally take the possibility of playing dominated Strategy by their opponents into account, because the dominated Strategy can be played due to not full rationality of the opponents or their specific not self-interested motivation. However, adopting imagine-self perspective by the participants promotes their rational self-interested behavior (indicated by Nash Equilibrium choices), perhaps by alleviating their attributions of a susceptibility to errors or a non-self-interested motivation to the opponents. The imagine-self-self-interest link is next postulated and succinctly discussed in the context of relevant psychological and economic literature.
Qian Huang - One of the best experts on this subject based on the ideXlab platform.
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low carbon electricity generation based dynamic Equilibrium Strategy for carbon dioxide emissions reduction in the coal fired power enterprise
Environmental Science and Pollution Research, 2019Co-Authors: Qing Feng, Qian HuangAbstract:Climate change is already resulting in extreme devastation in the earth, with carbon dioxide emissions produced by coal-fired power plants being the largest contributor. Therefore, integrated coal purchasing, blending, and distribution strategies are playing a more important role in large-scale coal-fired power enterprises due to the need to reduce carbon dioxide emissions and operational costs. In this study, a dynamic Equilibrium Strategy for integrated coal purchasing, blending, and distribution under an uncertain environment is proposed to reduce carbon dioxide emissions in large-scale coal-fired powered enterprises; the practicality and efficiency of which are verified using a real-world case. Sensitivity analyses under different carbon dioxide emissions levels and satisfactory degrees were also conducted to give insights into the conflict between economic development and environmental protection for large-scale coal-fired power enterprises, and balance short-term and long-term production plans. The results indicated that the proposed method was able to achieve economic-environmental coordination and sustainable development. Compared to previous studies, the developed model was found to be able to reduce carbon emissions by about 30% compared with the maximum carbon emissions and improve carbon emissions reduction performance to assist in mitigating climate change.
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carbon emissions reductions oriented dynamic Equilibrium Strategy using biomass coal co firing
Energy Policy, 2018Co-Authors: Qian Huang, Qing Feng, Fengjuan WangAbstract:Abstract Carbon emissions are posing continuing threats to climate change and becoming the important evaluation indicator for sustainable development. The amount of global carbon emission is increasing largely, with coal-fired power plants (CPP) being the major contributor. This study proposes dynamic Equilibrium Strategy based on biomass-coal co-firing method to reduce carbon emissions, in which bi-level programming method is employed to build a cooperative relationship between the authority and CPPs, dynamic programming method is used to handle biomass availability time conflict, multi-objective programming method is applied to seek the trade-off between economic development and environmental protection, and furthermore uncertainty theory is introduced to address imprecise uncertain parameters. The proposed model is then applied to a case in Jiangsu, China, to demonstrate its efficiency and practicality, and an interactive algorithm is developed as the solution approach to represent the objectives and limitations between several stakeholders. Based on analyses and discussions under different scenarios, the proposed method can achieve economic-environmental coordination and realize sustainable development, and moreover a carbon emissions allocation competition mechanism is recommended. This methodology could be used in various countries and industries with only slight adjustments needed to some parameters.
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new carbon emissions allowance allocation method based on Equilibrium Strategy for carbon emission mitigation in the coal fired power industry
Sustainability, 2018Co-Authors: Qing Feng, Qian Huang, Qingyan Zheng, Li LuAbstract:The carbon emissions from coal-fired power have become an increasing concern to governments around the world. In this paper, a carbon emissions allowances allocation based on the Equilibrium Strategy is proposed to mitigate coal-fired power generation carbon emissions, in which the authority is the lead decision maker and the coal-fired power plants are the follower decision makers, and an interactive solution approach is designed to achieve Equilibrium. A real-world case study is then given to demonstrate the practicality and efficiency of this methodology. Sensitivity analyses under different constraint violation risk levels are also conducted to give authorities some insights into Equilibrium strategies for different stakeholders and to identify the necessary tradeoffs between economic development and carbon emissions mitigation. It was found that the proposed method was able to mitigate coal-fired power generation carbon emissions significantly and encourage coal-fired power plants to improve their emissions performance.
Qing Feng - One of the best experts on this subject based on the ideXlab platform.
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low carbon electricity generation based dynamic Equilibrium Strategy for carbon dioxide emissions reduction in the coal fired power enterprise
Environmental Science and Pollution Research, 2019Co-Authors: Qing Feng, Qian HuangAbstract:Climate change is already resulting in extreme devastation in the earth, with carbon dioxide emissions produced by coal-fired power plants being the largest contributor. Therefore, integrated coal purchasing, blending, and distribution strategies are playing a more important role in large-scale coal-fired power enterprises due to the need to reduce carbon dioxide emissions and operational costs. In this study, a dynamic Equilibrium Strategy for integrated coal purchasing, blending, and distribution under an uncertain environment is proposed to reduce carbon dioxide emissions in large-scale coal-fired powered enterprises; the practicality and efficiency of which are verified using a real-world case. Sensitivity analyses under different carbon dioxide emissions levels and satisfactory degrees were also conducted to give insights into the conflict between economic development and environmental protection for large-scale coal-fired power enterprises, and balance short-term and long-term production plans. The results indicated that the proposed method was able to achieve economic-environmental coordination and sustainable development. Compared to previous studies, the developed model was found to be able to reduce carbon emissions by about 30% compared with the maximum carbon emissions and improve carbon emissions reduction performance to assist in mitigating climate change.
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carbon emissions reductions oriented dynamic Equilibrium Strategy using biomass coal co firing
Energy Policy, 2018Co-Authors: Qian Huang, Qing Feng, Fengjuan WangAbstract:Abstract Carbon emissions are posing continuing threats to climate change and becoming the important evaluation indicator for sustainable development. The amount of global carbon emission is increasing largely, with coal-fired power plants (CPP) being the major contributor. This study proposes dynamic Equilibrium Strategy based on biomass-coal co-firing method to reduce carbon emissions, in which bi-level programming method is employed to build a cooperative relationship between the authority and CPPs, dynamic programming method is used to handle biomass availability time conflict, multi-objective programming method is applied to seek the trade-off between economic development and environmental protection, and furthermore uncertainty theory is introduced to address imprecise uncertain parameters. The proposed model is then applied to a case in Jiangsu, China, to demonstrate its efficiency and practicality, and an interactive algorithm is developed as the solution approach to represent the objectives and limitations between several stakeholders. Based on analyses and discussions under different scenarios, the proposed method can achieve economic-environmental coordination and realize sustainable development, and moreover a carbon emissions allocation competition mechanism is recommended. This methodology could be used in various countries and industries with only slight adjustments needed to some parameters.
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new carbon emissions allowance allocation method based on Equilibrium Strategy for carbon emission mitigation in the coal fired power industry
Sustainability, 2018Co-Authors: Qing Feng, Qian Huang, Qingyan Zheng, Li LuAbstract:The carbon emissions from coal-fired power have become an increasing concern to governments around the world. In this paper, a carbon emissions allowances allocation based on the Equilibrium Strategy is proposed to mitigate coal-fired power generation carbon emissions, in which the authority is the lead decision maker and the coal-fired power plants are the follower decision makers, and an interactive solution approach is designed to achieve Equilibrium. A real-world case study is then given to demonstrate the practicality and efficiency of this methodology. Sensitivity analyses under different constraint violation risk levels are also conducted to give authorities some insights into Equilibrium strategies for different stakeholders and to identify the necessary tradeoffs between economic development and carbon emissions mitigation. It was found that the proposed method was able to mitigate coal-fired power generation carbon emissions significantly and encourage coal-fired power plants to improve their emissions performance.