Guaranteed Cost Strategy for Hierarchical Game in Financial Systems: LMIs-Constrained Method

Min Shi; Yuan Yuan

doi:10.1007/978-981-16-6372-7_37

Guaranteed Cost Strategy for Hierarchical Game in Financial Systems: LMIs-Constrained Method

Min Shi
, Yuan Yuan

School of Astronautics

Northwestern Polytechnical University Xian

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

1 Scopus citations

Abstract

This paper deals with the hierarchical game for a financial market system. Firstly, the differential game is utilized to balance the control performance and disturbance. Managers and investors pursue their own interests which are partly conflicting with others. Subsequently, the noncooperative game is applied to multiperson noncooperative decision making problem of financial market. Based on the optimal solution of the differential game, the guaranteed cost strategy is designed by a linear matrix inequality (LMI)-constrained method. Finally, a numerical example is provided to verify the validity and advantages of the proposed methodology.

Original language	English
Title of host publication	Proceedings of 2021 Chinese Intelligent Automation Conference
Editors	Zhidong Deng
Publisher	Springer Science and Business Media Deutschland GmbH
Pages	324-332
Number of pages	9
ISBN (Print)	9789811663710
DOIs	https://doi.org/10.1007/978-981-16-6372-7_37
State	Published - 2022
Event	Chinese Intelligent Automation Conference, CIAC 2021 - Zhanjiang, China Duration: 5 Nov 2021 → 7 Nov 2021

Publication series

Name	Lecture Notes in Electrical Engineering
Volume	801 LNEE
ISSN (Print)	1876-1100
ISSN (Electronic)	1876-1119

Conference

Conference	Chinese Intelligent Automation Conference, CIAC 2021
Country/Territory	China
City	Zhanjiang
Period	5/11/21 → 7/11/21

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 10 Reduced Inequalities

Keywords

Differential game
Financial market system
Guaranteed cost strategy
Noncooperative game

Access to Document

10.1007/978-981-16-6372-7_37

Cite this

Shi, M., & Yuan, Y. (2022). Guaranteed Cost Strategy for Hierarchical Game in Financial Systems: LMIs-Constrained Method. In Z. Deng (Ed.), Proceedings of 2021 Chinese Intelligent Automation Conference (pp. 324-332). (Lecture Notes in Electrical Engineering; Vol. 801 LNEE). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-981-16-6372-7_37

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title = "Guaranteed Cost Strategy for Hierarchical Game in Financial Systems: LMIs-Constrained Method",

abstract = "This paper deals with the hierarchical game for a financial market system. Firstly, the differential game is utilized to balance the control performance and disturbance. Managers and investors pursue their own interests which are partly conflicting with others. Subsequently, the noncooperative game is applied to multiperson noncooperative decision making problem of financial market. Based on the optimal solution of the differential game, the guaranteed cost strategy is designed by a linear matrix inequality (LMI)-constrained method. Finally, a numerical example is provided to verify the validity and advantages of the proposed methodology.",

keywords = "Differential game, Financial market system, Guaranteed cost strategy, Noncooperative game",

author = "Min Shi and Yuan Yuan",

note = "Publisher Copyright: {\textcopyright} 2022, The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.; Chinese Intelligent Automation Conference, CIAC 2021 ; Conference date: 05-11-2021 Through 07-11-2021",

year = "2022",

doi = "10.1007/978-981-16-6372-7\_37",

language = "英语",

isbn = "9789811663710",

series = "Lecture Notes in Electrical Engineering",

publisher = "Springer Science and Business Media Deutschland GmbH",

pages = "324--332",

editor = "Zhidong Deng",

booktitle = "Proceedings of 2021 Chinese Intelligent Automation Conference",

}

Shi, M & Yuan, Y 2022, Guaranteed Cost Strategy for Hierarchical Game in Financial Systems: LMIs-Constrained Method. in Z Deng (ed.), Proceedings of 2021 Chinese Intelligent Automation Conference. Lecture Notes in Electrical Engineering, vol. 801 LNEE, Springer Science and Business Media Deutschland GmbH, pp. 324-332, Chinese Intelligent Automation Conference, CIAC 2021, Zhanjiang, China, 5/11/21. https://doi.org/10.1007/978-981-16-6372-7_37

Guaranteed Cost Strategy for Hierarchical Game in Financial Systems: LMIs-Constrained Method. / Shi, Min; Yuan, Yuan.
Proceedings of 2021 Chinese Intelligent Automation Conference. ed. / Zhidong Deng. Springer Science and Business Media Deutschland GmbH, 2022. p. 324-332 (Lecture Notes in Electrical Engineering; Vol. 801 LNEE).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Shi, Min

AU - Yuan, Yuan

PY - 2022

Y1 - 2022

N2 - This paper deals with the hierarchical game for a financial market system. Firstly, the differential game is utilized to balance the control performance and disturbance. Managers and investors pursue their own interests which are partly conflicting with others. Subsequently, the noncooperative game is applied to multiperson noncooperative decision making problem of financial market. Based on the optimal solution of the differential game, the guaranteed cost strategy is designed by a linear matrix inequality (LMI)-constrained method. Finally, a numerical example is provided to verify the validity and advantages of the proposed methodology.

AB - This paper deals with the hierarchical game for a financial market system. Firstly, the differential game is utilized to balance the control performance and disturbance. Managers and investors pursue their own interests which are partly conflicting with others. Subsequently, the noncooperative game is applied to multiperson noncooperative decision making problem of financial market. Based on the optimal solution of the differential game, the guaranteed cost strategy is designed by a linear matrix inequality (LMI)-constrained method. Finally, a numerical example is provided to verify the validity and advantages of the proposed methodology.

KW - Differential game

KW - Financial market system

KW - Guaranteed cost strategy

KW - Noncooperative game

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DO - 10.1007/978-981-16-6372-7_37

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SN - 9789811663710

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BT - Proceedings of 2021 Chinese Intelligent Automation Conference

A2 - Deng, Zhidong

PB - Springer Science and Business Media Deutschland GmbH

Y2 - 5 November 2021 through 7 November 2021

ER -

Guaranteed Cost Strategy for Hierarchical Game in Financial Systems: LMIs-Constrained Method

Abstract

Publication series

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UN SDGs

Keywords

Access to Document

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