经典随机序的细化与不完全信息博弈的比较静态分析被引量：3

Refinements of Classic Stochastic Orders with Application to Comparative Statics of Incomplete Information

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摘要经典随机序的概念产生于风险和不确定性环境中的决策问题,它在经济学和金融学许多领域有着广泛的应用,然而在一些具体领域,即使是较强的随机占优——一阶随机占优,有可能不能导出明确的结论,人们于是考虑对经典的随机占优关系进行细化。本文主要对近年来有关博弈论文献中所提出的对经典的一阶和二阶随机占优的细化的随机序以及各随机序之间的相互关系进行归纳、梳理和评述,然后以拍卖为例说明了这些随机序在不完全信息博弈中的应用。针对对称独立私人价值一级价格拍卖,我们给出了两个比较静态分析结果。 Classic stochastic orders were developed to consider decision making problems under risk and uncertainty,and had been used extensively in manny fields of economics and finance.However,in some specific fields,even a strong odering of two random variables 'first stochastic dominance' can be insufficient to ensure unambiguous conclusion.As a consequence,some strengthenings of classic stochastic orders have been introduced.This paper summarize refinements of classic first order stochastic dominance and second order stochastic dominance which have been used in games of incomplete information in recent literatures,and review the relations among all the orders introduced in this paper.Some applications of stochastic orders in auctions are given to show how stochastic orders can be used in games of incomplete information.

作者龙永红

机构地区武汉大学高级研究中心中国人民大学信息学院

出处《经济研究》 CSSCI 北大核心 2011年第S2期147-154,共8页 Economic Research Journal

关键词随机序一级价格拍卖均衡策略比较静态 Stochastic Order First Price Auction Equilibrium Strategies Comparative Statics

分类号 F713.359 [经济管理—产业经济] F224.32 [经济管理—国民经济]

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参考文献14

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