Μαθηματικές Μέθοδοι στα Μικροοικονομικα και Χρηματοοικονομικα.

i
, ,
.
, 2010
ii
iii

2002,
. /
-
. ,
poster.

poster .
2005

.
Peter Leach KwaZulu-Natal
.

, -,

.
2006.
Peter Leach 2000 .
, ,
Painleve, Lie .
,

.
Lie
, .
, (...),
, .

, .
, ..
, Ko van der Weele ,

.
iv
, ,
,
,
.
,
Ko van der Weele ,
.

,
, .
,
(
) ,
, , .

Microeconomica
SYM ( , Mathematica).
KwaZulu-Natal
: Peter Leach (Professor
Emeritus), John OHara ( Essex),
Adhir Maharaj Viroshan Naicker ( Cambridge).
, Clara Nucci Perugia
Puu Centre for Regional Science (CERUM),
, Tonu
Ume Shahriar Yousefi Centre for Advanced Research in Nature
and Society (CARINAS) . ,
,
.
, , ,
Jose-Manuel Rey University Complutense in Madrid.
, , ,
.
, ,
. , ,
. , ,
. , , ,
, .
, , , . ,
, , , portfolio.
. (
) .
, , ,
. ,
:
; ,
; ;
. ,
,
.
. , ,

.
vi
1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
22
2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
24
2.1 . . . . . . . . . . . . . . . . . . . . . . .
25
2.1.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
25
2.1.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
27
2.1.3
. . . . . . . . . . . . . . . . . . . . . . . . .
29
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
31
2.1.5 Dating Hypothesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
33
2.1.6 Box-Checking Experiment . . . . . . . . . . . . . . . . . . . . . . . . .
38
2.2 . . . . . . . . . . . . . . . . . . . . . .
44
2.2.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
48
2.2.2 Parrondo . . . . . . . . . . . . . . . . . . . . . . . . . . .
50
2.1.4
2.3
. . . . . . . . . . . . . . . . . . .
52
2.3.1 Cournot . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52
2.3.2 Bertrand . . . . . . . . . . . . . . . . . . . . . . . . . .
57
2.3.3 von Stackelberg . . . . . . . . . . . .
59
2.3.4 . . . . . . . . . . . . . . . . . . . . .
60
viii
3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
64
3.1 - . . . . . .
65
3.2 . . . . . . . . . . . . . . . . .
69
3.3 . . . .
71
3.4 . . . . . . . . . . . . . . . . .
73
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
78
4.
4.1 . . . . . . . . . . . . . . . . . . . . .
81
4.1.1 Theocharis . . . . . . . . . . . . . . . . . . . . . . . . . .
81
4.1.2 Puu
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
84
4.2 . . . . . . . . . . . . . . . .
86
4.3 . . . . . . . . . . . . . . . . . . . . . . . .
90
4.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
95
5. . . . . . . . . . . . . . . . 105
5.1 . . . . . . . . . . . . . . . . . . . . . . . .
106
5.2
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
111
115
6. . . . . . . . . . . . . . . . . . . . . . . . . . 119
6.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
122
6.2 . . . . . . . . . . .
127
6.3 . . . . . . . . . . . . . . . . . . . . . . .
129
ix
7. LIE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
7.1 Lie . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
136
7.2 Lie . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
140
7.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
144
7.4 (1 + 1) . . . . . . . . . . . . . . . . . . .
149
8. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
8.1 Black-Scholes-Merton . . . . . . . . . . . . . . . . . . . . . . . . .
155
8.2 Longstaff . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
158
8.3 Vasicek . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
160
8.4 Cox-Ingersoll-Ross
163
. . . . . . . . . . . . . . . . . . . . . . . . . .
8.5 Hamilton-Jacobi-Bellman
. . . . . . . . . . . . . . . . . .
9.
166
. . . . . 179
9.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
180
9.2 . . . . . . . . . . . . . . . . . .
181
9.3 Lie . . . . . . . . . . . . . . . . . .
184
9.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
187
10.
. . . . . . . . . . . . . . . 193
10.1 Miller Weller . . . . . . . . . . . . . . . . . . . . . . . . . . . .
195
10.2 Henderson Hobson . . . . . . . . . . . . . . . . . . . . . . . .
196
200
206
2.1 Pascal. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
2.2 : . . . . .
29
2.3 : Nash . . . . . . . . . . . . . . . . . . .
31
2.4 Dating Hypothesis: 3 1 . . . . . . . . . . . . . .
34
2.5 Dating Hypothesis: 3 2 . . . . . . . . . . . . . .
34
2.6 Dating Hypothesis: 1. . . . . . . . . . . .
37
37
38
2.9 Box-Checking Experiment:

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
40
2.10 Box-Checking Experiment: . . . . . . . . .
41
2.11 Box-Checking Experiment: .
42
2.12 Box-Checking Experiment: Nash . . . . . . . . . . . . . . . . . . . . . . . .
42
2.13 , , ,
- . 48
7.1 Lie.
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
142
7.2 Lie. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
143
7.3 Lie . . . . . . . . . . . . . . . . . . . .
150
8.1 Lie Black-Scholes-Merton. . . . . . . . . . . . . . . .
156
xii
8.2 Lie Longstaff. . . . . . . . . . . . . . . . . . . . . . .
159
8.3 Lie Longstaff = 0. . . . . . . . . . . . . . . . . . .
160
8.4 Lie Vasicek. . . . . . . . . . . . . . . . . . . . . . . .
161
8.5 Lie Vasicek = 0. . . . . . . . . . . . . . . . . . . .
162
8.6 Lie CIR 2 = 4. . . . . . . . . . . . . . . . . . . .
164
8.7 Lie CIR 2 = 43 .
. . . . . . . . . . . . . . . . . .
166
8.8 Heath. . . . . . . . . .
168
8.9 Lie Heath () = 1 + 2 + 3 2 . . . . . . . . .
175
9.1 (9.24), (9.25) (9.10). . . . . . . . . . . .
188
9.2 (9.24), (9.25) (9.26). . . . . . .
190
9.3 . . . . . . . . . . . . . . . . . . . . . . .
192
2.1 Cournot .
. .
55
3.1
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
66
3.2 (, ) = (1 , 2 ) MS
1 = 2 = 0.5, 1 = 1, 2 = 1.1 () 1 = 0.7, 2 = 0.2, 1 = 0.4,
2 = 1.3 ().
1 , 2 (0, 1) (0, 1). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
69
3.3 (, ) = (1 , 2 )
1 = 2 = 0.5, 1 = 1, 2 = 1.1 () 1 = 0.7, 2 = 0.2, 1 = 1, 2 = 1.1

(). 3.2. . . . . . . . . . . . . . . . . . . . . . . . . .
71
3.4 MS, (3.13), 1 = 2 = 0.5 ()
1 = 0.7, 2 = 0.2 (). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
72
3.5 , (3.19), 1 = 2 = 0.5 ()
1 = 0.7, 2 = 0.2 (). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
72
3.6 , (3.19),
1 = 0.7, 2 = 0.2 1 () 2 (). .
72
3.7 () (3.30), (3.31) (1 , 2 )

Poincare map. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
75
3.8 , 1 (). . . . . . . . . . . . . . . .
76
4.1 : 1 = 0.6 2 = 0.9 ( = = 1).

. . . . . . . . . . . . . . . . . . . . . . . . . . .
87
4.2 : 1 = 0.6 2 = 0.7 ( = = 1).

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
87
xiv
4.3 : 1 = 0.6 2 = 0.2 ( = = 1).

.
. . . . . . .
88
4.4 : 1 = 0.5, 2 = 0.6 3 = 0.75 ( = = 1).

. . . . . . . . . . . . . . . . . . . . . . . . .
88
4.5 : 1 = 0.5, 2 = 0.6 3 = 0.65 ( = = 1).

. . . . . . . . . . . . . . . . . . . . . . . . . . . .
89
4.6 : 1 = 0.5, 2 = 0.6 3 = 0.25 ( = = 1).

,
. . . . . . . . . . . . . . . . . . . . .
89
4.7 : (1 , 2 , 3 , 4 , 5 ) = (0.5, 0.55, 0.6, 0.52, 0.35).

. . . . . . . . . . . . . . . . . . . . . . . . . . . .
90
4.8 = 100 = 10. . . . . . . . . . . .
94
4.9 = 3 = 4.
. . . . . . . . . . . . . . . . . . . . . .
94
4.10 = 7 = 5. . . . . . . . . . . . . . . . . . . . . .
95
4.11 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
97
4.12 . .
97
4.13 . .
97
4.14
,
1.
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
98
4.15 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
98
4.16 . . .
99
4.17
1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
99
4.18 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
100
xv
4.19 . .
100
4.20 . .
100
4.21 .
. . . . . . . . . .
101
4.22 2 = 0.7. 101

4.23 2 = 0.3. 101
7.1 (7.26), 4 > 0,

(), 4 = 0, () 4 < 0,
().
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
148
. , ,
.

.

.
,
. ,
- ,
. 2
, 3
. , 4, . , ,
( 1).
( 1 5)

. .
.
.
.
.
2

.

. ,
.
, .
Dating Hypothesis1 , Nash
(19). ,
Box-checking Experiment2
1. , ,
, (1/2, 1/2) (22).
Nash
( )
(
1
3
4
(1
, 1 = (0.5, 0.5)
2 2 )
2
2
(0.2929, 0.7071)
2 , 2
(1 1)
2 , 2 = (0.5, 0.5)
)
(0.385728, 0.614272)
(1 1)
2 , 2 = (0.5, 0.5)
5
6
1: Box-Checking Experiment: Nash

.
.
2, 2.3,
. , , Cournot, Bertrand von Stackelberg. Cournot
, ,
, ,

.
( , ).
,
. , ..,
.

.
1

... , .
2
(
) .

( )
( ).
.

. 3 . ,
, .
.
3
. ,
. - .
, , Matsumoto Szidarovszky,
,
1 (1 , 2 ) =
2 (1 , 2 ) =
1
1 1
1 + 1 2
2
2 2 ,
2 1 + 2
(0.1)
1 2 ,
1 2 , , 0 1, = 1, 2.
,
:
1 2 ()
1 2 () 1 ()
1
()
2 1
2 () = 2
2 1 () 2 () ,
2
1 () = 1
(0.2)
, , , = 1, 2,
.
,
.

(1)
. ,
1 (1 , 2 ) =
2 (1 , 2 ) =
1
1 1
(1 + 1 2 )2 + 1
2
2 2 ,
(2 1 + 2 )2 + 1
(0.3)
(0.1), (0.2), 3
1
1
2
2 () = 2
.
2
1 () = 1
(0.4)
, (0.4) (0.3), ( )
. ,

.
( 1) , , ( )
, < ,
( ).
u1
u2
0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1
0.2
0.4
0.6
0.8
p1
0.2
0.4
0.6
0.8
p2
1: , (0.4) (0.3), 1 = 0.7,
2 = 0.2 1 () 2 ().
, , ,
(2).
.
() ( 2).
, 4 .

.
- ( )
.

;
:
;
;
yHtL
0.54
0.53
0.52
0.51
0.50
0.36
xHtL
0.37
0.38
0.39
0.40
0.41
0.42
2: () (1 , 2 ) Poincare.

.
.
:

. , Puu [71]
,

() ( 3).
0.8
0.6
0.4
0.2
200
400
600
800
1000
3: , , , ,
= 10 = 100.

, ( ) .

.

(3) ( 4). ,

() (4)! ( ) ( )
.
0.1
0.2
0.3
0.4
4: , ,
, 1, .
.
, ,
Cournot-Nash .
()
.
.
,
( )
.
, ,
,
... Microeconomica
Mathematica.
( 6 10)
.
( ) . ,
spreads.
; 6 .
1876, 1999
2002 ATHEX. , , (
)
.
. ()

. -
.
, ( ..
Black, Scholes Merton).
7
.
Sophus Lie 19
. Lie
,
Galois .
( , ..)
(
) .

.
Lie
.
. , ,
Lie,
.
Lie (9 11).
, , .
1: ( -
)
. ( Krause [45].)
2: ( )
Lie .
( Oliveri [60].)
:
1: ( ) , , , -
(9).
2: ,
,
( ), , , ,
= (, , , , , , ), (11).
,
, Bateman, Monge-Ampère Born-Infeld,
. , SYM
Mathematica [21, 22, 23]. ,
SYM ,
,
, ,
)
2 2 = ( )2 ,
(
)
2 = 2
[(
) ]2
(0.5)
(0.6)
Lie Monge-Ampère
,
2 = 0,
(0.7)
2 + 2 2 = 0,
(0.8)
Bateman,
, = 0 = 1 (11).
-
:
, , , ,
.
8
, , .
10
, , , .
, , Black-Scholes-Merton,
1 2 2 2
+ 2
= 0,
+
(0.9)
(, ) = .
(0.10)
, (, ),
( ) .
, ,
Black-Scholes (8 6).
Vasicek,
1 2 2
+ 2
= 0,
( )
2
(0.11)
1 2 2
+ 2 2 ( )
= 0.
(0.12)
Cox, Ingersoll Ross,
Longstaff,
1 2 2 ( 1 2
2 2 4 ( 22 ) 2
+ = 0,
(0.13)
- Hamilton-Jacobi-Bellman,
1 2 2
+
+
2 2
1
2
)2
+ (, ) = 0.
(0.14)
(1 + 1) .
, [13][ 6],
4 , ,
Lie (12 5). , ,

. , , ,
.
9

Schwartz. ( .)
, , .
(
4
, ,
, .
11
), , , (10).
, ,
. Schwartz
.
,
2 2( + 1 )1 2 2 2 = 0,
(0.15)
, , = 2, 1 = 2, .

.
(0.15)

2 2 = 0
(0.16)
2 2 2 = 0,
(0.17)
2. Lie
3.
(0.16)
(0.17)
(0.15)
10
14
10
19
14
11
25
19
13
6
..
.
32
..
.
25
..
.
15
..
.
1
2
2 (
+ 3 + 10)
1
2
2 (
+ + 8)
2 + 3
2: (0.16), (0.17) (0.15).
,
, .

.
12

. ,
Lie .
Miller Weller,
2
+ [( 1 ) + ]
2
+[21 + ( )1 ] (1 + ) = 0,
(0.18)
Henderson Hobson,
2
1 2 2

1 2 2 2
1
+ 2 2 = 0.
2
2

2
2
(0.19)
(13).
(20).
(0.16)
}
{(2, ) ()} (2+1) (1 )
(0.17)
(0.15)
}
{1 ( 1)} (2+1) (1 )
{
}
1 (2+1) (1 )
3: Lie , (0.16), (0.17) (0.15).
:

.
.
.
, / .

13
. , ,
(.. ), .
.
, ,
.

.
, ,
,
, ,
. ,
.

.
,

. ,

. , , -

.
1.
.

. ,
.
(, ,
!). ,
, .
() , ,
() , ,
;
, ,
: ,
;

;
1920 von Neumann :
. von Neumann
. , ; ;
von Neumann, , 1929, Roosevelt
1937, ,
1974 ( 1981) , 19 1989. ( )
() . , 2007
..

.

; (
Nobel Scholes Merton) -
15
.

- (-) ;
,
;
von Neumann , Keynes (
) .
. , Keynes
. ,
,
;
von Neumann;

.

. ,

.
,
: ,
( ) 1 .
,
, , .
,
, .
. ,

. Lie
.
, , ,
.
. ( 2 5):
2 :
1
, , , .
16
Cournot, Bertrand Stackelberg. Cournot

( )
,
, ,
.

.
, ,
. .

.
Cournot, Dating Hypothesis
(20). , Box-Checking
Experiment
(23). -

.
1883 Bertrand
Cournot Cournot 1838.

.

,
.

2.3.4 4.1.1.
, .
.
. ,
. ,
, , 3,

(1 2). , 4
17
(3 4) .
5 Cournot.
(4, 22 19).
. ( 6 10):

. , , (Mathematical Reviews 2479658)
(
) .
.
Grenadier Dixit.

. (
) 6.
6.1 /
, Black, Scholes Merton. , 7,
.
Lie, ,

.
.
7 Lie
.
.
Lie Lie (9 11).
Lie.
(1 + 1) .
8
, Black-Scholes-Merton, Longstaff,
Vasicek, Cox-Ingersoll-Ross, Heath Hamilton-Jacobi-Bellman (12, 5
8). Black-Scholes -
18
Burgess
Lie. Schrodinger
(7 6). ,

Lie.
.
.
Lie
.
,
, Lie.
.
1997,
Schwartz .
9
.

. 9,
. ,
(10 8).

(21).
10
Miller Weller Henderson Hobson (13)
. , ,
, .
19
1 Andriopoulos K, Bountis T & Papadopoulos N (2008) Theory of Oligopolies: Dynamics

and Stability of Equilibria Romanian Journal of Applied and Industrial Mathematics 4 (1)
47-59
2
Andriopoulos K & Bountis T (2008) Dynamics of a Duopoly Model with Periodic Driving Proceedings of the 7th International Conference: Lets face chaos through Nonlinear
Dynamics M Robnik & VG Romanovski eds. (American Institute of Physics Conference
Proceedings 1076) 9-12
Andriopoulos K, Bountis T & Dimas S (2010) Discrete-Time Dynamics of an Oligopoly

Model with Differentiated Goods Nonlinear Economic Dynamics, T Puu & A Panchuk eds.
(Series: Economic Issues, Problems and Perspectives) Nova Science, ISBN: 978-1-61668788-5 (Chapter 18)
4 Andriopoulos K, Bountis T & Dimas S (2010) Transition of a competitive oligopoly from

identical to differentiated goods Bulletin of the Greek Mathematical Society (accepted)

. . :
5 Naicker V, Andriopoulos K & Leach PGL (2005) Symmetry reductions of a Hamilton Jacobi - Bellman equation arising in Financial Mathematics Journal of Nonlinear Mathematical Physics 12 268-283
6 Leach PGL & Andriopoulos K (2005) Newtonian economics Group Analysis of Differential
Equations NH Ibragimov, C Sophocleous & PA Damianou eds. (University of Cyprus,
Nicosia) 134-142
. . :
7 Andriopoulos K & Leach PGL (2006) A common theme in applied mathematics: an equation connecting applications in economics, medicine and physics South African Journal of
Science 102 No 1/2 66-72
20
8 Leach PGL & Andriopoulos K (2007) Algebraic solutions of some partial differential equations arising in Financial Mathematics and related areas Bulletin of the Greek Mathematical
Society 54 15-27
9 Andriopoulos K (2007) Complete symmetry groups and Lie remarkability Symmetry and
Perturbation Theory SPT 2007 G Gaeta, R Vitolo & S Walcher eds. (World Scientific,
Singapore) 237-238
10 Sophocleous C, Leach PGL & Andriopoulos K (2008) Algebraic properties of evolution
partial differential equations modelling prices of commodities Mathematical Methods in
the Applied Sciences 31 679-694
11 Andriopoulos K, Dimas S, Leach PGL & Tsoubelis D (2008) On the systematic approach to the classification of differential equations by group theoretical methods Journal of
Computational and Applied Mathematics 230 224-232
12 Dimas S, Andriopoulos K, Tsoubelis D & Leach PGL (2009) Complete Specification of some
Partial Differential Equations that arise in Financial Mathematics Journal of Nonlinear
Mathematical Physics 16, s-1 73-92
13 Leach PGL, Andriopoulos K & Yannacopoulos AN (2010) Nonlinear Equations in Financial
Mathematics: Symmetries and Linearisation (preprint)
14 Andriopoulos K & Leach PGL (2006) Lie point symmetries: An alternative approach to
wave-functions Bulletin of the Greek Mathematical Society 52 25-34
15 Andriopoulos K & Leach PGL (2007) Explicit solution of the generalised Ladder Problem
Journal of the Physical Society of Japan 76 054001 1-3
16 Andriopoulos K (2008) Generalised symmetries and the connection to Differential Sequences International Journal of Pure and Applied Mathematics 42 383-390
17 Andriopoulos K, Bountis T, van der Weele K & Tsigaridi L (2009) The shape of soliton-like
solutions of higher-order KdV equations Journal of Nonlinear Mathematical Physics 16 s-1
1-12
18 Bountis T, van der Weele K, Kanellopoulos G & Andriopoulos K (2011) Model Reduction
of a Higher-Order KdV Equation for Shallow Water Waves Coping with Complexity: Model
Reduction and Data Analysis AN Gorban & D Roose eds. (Lecture Notes in Computational
Science and Engineering 75) Springer-Verlag, Heidelberg, 287-298
19 Andriopoulos K (with T Bountis & S Dimas) Evolution of a Duopoly With Differentiated
Goods (in preparation)
20 Andriopoulos K (with J-M Rey) The Dating Hypothesis (in preparation)
21
21 Andriopoulos K (with N Kallinikos, PGL Leach, JD OHara & C Sophocleous) Applications

of Lie Symmetries to Equations Modelling Prices of Commodities (in preparation)
22 Andriopoulos K (with T Bountis) Complete and Incomplete Information Regarding the Entry
of a New Firm in an Existing Duopoly (in preparation)
23 Andriopoulos K The Box-Checking Experiment (in preparation)
22
. , .

, .
.

.

.
:
,
.

.
( )
( )
netbooks.
.
;

;
, 2

. , .
: Dating Hypothesis Box-Checking Experiment.

23
.
.
3 4
.
,
3 4, .

,
.

.
2.
.
. , ,
.

. Cournot, Stackelberg
,
,
.

. ,
: , .

, .
2.1 .
.
.
Cournot Stackelberg 2.3
, .

.
,
Gibbons [42].
25
2.1
. ( ) /.
, (, )

.
( 5)
1 (common
knowledge).
2.1.1
, ,
. , .
, 1 .
, . ,
, (1 , 2 , . . . , ).
(1 , . . . , )
(1 , . . . , ).
:
()
()
()
= {1 , . . . , ; 1 , . . . , } .
(2.1)
, ,
.

. :

;
1
/.

.
.
.
26
2 ;
: , (2.1),
, , , .
() ,
(1 , . . . , 1 , , +1 , . . . , ) < (1 , . . . , 1 , , +1 , . . . , ),
(2.2)
(1 , . . . , 1 , +1 , . . . , ) 1 . . . 1 +1 . . . (
).
, , Aumann [13], (common knowledge):

,
. ,
...
.
(a solution concept).

( , )
.
;
, ,

!
( ) Nash. ,
, (1 , 2 , . . . , ),
.

.
Nash. , , (
) Nash,
[60].
2
. ,
. ,
Nash ( ).
.
27
: Nash 3 =
{1 , . . . , ; 1 , . . . , } (1 , . . . , ) , ,
, ( )
1 , (1 , . . . , 1 , +1 , . . . , ).
Nash:
(1 , . . . , 1 , , +1 , . . . , ) (1 , . . . , 1 , , +1 , . . . , ),
(2.3)
, ,
max (1 , . . . , 1 , , +1 , . . . , ).
(2.4)
1: , (2.1), (1 , . . . , )
Nash, .
2: , (2.1),
(1 , . . . , ), Nash
.
,
, , [42].
2.1.2

,
. :
.
, Pascal [65], .
2.1. Pascal.
, , 1 +1 (
status quo
,
.
3
28
1
1
: 2.1: Pascal.
, , . ,
1/2 ,
+
.
.
.

: ( ).
.
: ( )
( / ) .

( /).
,
. (
.) , ,
. , ,
() 30%
( ). (
)
(
, , homo (economicus) sapiens, )
, , 4 .
,
Nash / 4
[26] -
: ( )
( ) . , (17%)
(32%) !
(!). , ( )
. (
, [45].)
29
, , -,
.
2.1.3
( )
. ,
( !),
( ).
.
.
,
.
:
( ),
.
, .
,
( )
( ).
1,
0,
9,
6,
0
6
: 2.2: : .
:
()
()
:
() (1 = )
() (2 = )
() , (, ), ( ) 2.2. ,
2 1 2
2 (, ) = 0.
Nash.
30

. ,
5
( , ) < ( , )
(2.5)
2 (2 = ), 1,
1 (, ) < 1 (, )
(1 < 0)
, 2 = ,
1 (, ) < 1 (, )
(9 < 6).
, 2 , 2 = {, },
1 (, ) < 1 (, ).
( 1).
2 (, ) < 2 (, ).
, , (
, ...) . (
) (, ).
(, )! ,
(, ), ,
. , ,
(, ).
, (
).
2.1.5.
Nash:
Nash , ,
. , 2.3
. ,
,
Nash.
, .
5
(2.2).
1,
0,
31
9,
-6 ,
-6
: 2.3: : Nash
, (1 , 2 ) Nash
,
max (, ).
(2.6)
2 2 = {, } (
) 1 (2.6)
,
max 1 (, )
1
max 1 (, )
1
1 =
1 = .
2
Nash, (1 , 2 ) = (, ).
1 2 ,
(, ) Nash. , ,
.
2.1.4

() / .
.
, . Nash ()
.
: = {1 , . . . , ; 1 , . . . , } = {1 , . . . , }.
= (1 , . . . , ),
0 1 = 1, . . . , 1 + . . . + = 1.
, ,
. , Nash
:
32
1 , = 1, . . . , , 2 , = 1, . . . , , 1
2 1 = {11 , . . . , 1 } 2 = {21 , . . . , 2 }, .
1 2 (21 , . . . , 2 )
(21 , . . . , 2 ) , , 2 1
, (11 , . . . , 1 ) (11 , . . . , 1 ).
1
2.
1 1 ,
2 1 (1 , 2 )
(2.7)
=1
, 1 = (11 , . . . , 1 ),
1 (1 , 2 ) =
=1
2 1 (1 , 2 )
=1
1 2 1 (1 , 2 ),
(2.8)
=1 =1
1 2 1 1 2 2 .
1 1 ,
(2.8),
, (11 , . . . , 1 ), (2.7),
(11 , . . . , 1 ). , 1
1 2 2, 1 > 0
=1
2 1 (1 , 2 )
2 1 (1 , 2 )
=1
1 1 .
(2.9)
, 2 1,
(. (2.8) )
2 (1 , 2 ) =
=1
=1
1 2 (1 , 2 )
1 2 2 (1 , 2 ).
(2.10)
=1 =1
: , , (1 , 2 ) Nash
, , 1
1 (1 , 2 ) 1 (1 , 2 )
(2.11)
33
1 1 2
2 (1 , 2 ) 2 (1 , 2 )
(2.12)
2 2 .
(Nash, 1950) [60]:
= {1 , . . . , ; 1 , . . . , } ,
,
Nash, .
: Nash
Kakutani [53] ( Brouwer [24])
, , - . Nash
Nash.
, Kakutani, Nash
6 .
2.1.5 Dating Hypothesis
. , .
, ( ) [40, 36]
.
A
Beautiful Mind:
. ( ) Nash
Nobel 1994 (
Harsanyi Selten).
:
1. Dating Hypothesis ( 3 ).
6
Hardy [47]:
, ,
. , Nash, .
, Brouwer .
, Hardy : :
,
.
34
2. , , ,
1 = 2 = 3 = {1 , 2 }. , 2
1 , 1 . 1
2 (
).
3. , ,
:
, () .
()
. , ()
. () = 1/2 .

. 1 = 2 = 3 ,
,
. , ,
. ,
1 > 2 > 3 ,
.
,
,
2.4 2.5. >> .
3 1
2 1
2 2
1 1
(1 (3),
2 (3),
3 (3))
(1 (2),
3 (2))
1 2
(,
2 (2),
3 (2))
(,
3 (1))
: 2.4: Dating Hypothesis: 3 1 .
3 2
2 1
2 2
1 1
(1 (2),
2 (2),
(1 (1),
1 2
(,
2 (1),
(,
: 2.5: Dating Hypothesis: 3 2 .
2.4 2.5 2
1 ()
1 (
).
1 = 2 = 3 = 1 Nash, (1 , 1 , 1 )
( Nash [60]), (3) . 1
. ,
35
((3), (3), (3)), .

() Nash.
1 > 2 > 3 3 (3) .
Dating Hypothesis
. : , (
)
.
.
, . ,
, internet , (
) .
( ()
) .
(),
.
.
, , Nash
(1 , 1 , 1 ), .
,
,
(2 , 2 , 2 ). , :

. , ( ad hoc),
:
:
1. Dating Hypothesis ( ).
2. ,
1 = 2 = 3 = 4 = {1 , 2 , 3 , 4 }. ,
2 1 , 1 .
1 , 2 , 3 4
.
3. , ,
:
36
: 7 .
4 (
1 ), (1 ) = 4. (
.) ,

,
,
! :
1 (1 , ) = 2.4 , {2, 3, 4}, ,

1 60%
.
1 (1 , ) = 1.2 , , = 1 {2, 3, 4}, ,
1 .
30%
,
.
1 (1 , ) = 0.4 = = 1, , . 10%
. ( )
8 .
( ) 52.5%, 20%
5% 35%, 15% 2.5%, .
: ( ) + 1.
, +1 , (+1 ) = 2 , , +1 .
1 :
, 1 3, 3 , 2
, 1 (3 ) = 0, 5 ( 50% ,
, 3 (3 ) = 0, 5 (
).
, 1, 3 , ,
1 (3 ) = 0, 8 ( 80% 1 ).
Dating Hypothesis,
2.6, 2.7 2.8. 9 :
7
8
, A Beautiful Mind, !

.
.
.
9
( ) ,
37

( , , ). , 2.6
2 ( ) 3 (
)10 . , ( , ), 2 2 , ,
/ 1 11 = 1 ,
12 = 2 , 21 = 3 22 = 4 .
, 2 (3 , 3 , 4 ) = 2.
1
2
3
4
0.4
1.2
1.2
1.2
0.8
0.8
0.8
0.8
0.5
0.8
0.8
1.2
2.4
2.4
2.4
0.8
0.8
0.8
0.8
0.5
0.8
0.8
1.2
2.4
2.4
2.4
0.8
0.8
0.8
1.2
2.4
2.4
2.4
0.8
0.5
0.8
0.5
0.5
0.5
0.8
: 2.6: Dating Hypothesis: 1.
1
2
3
4
0.2
0.8
0.8
0.5
0.8
0.8
0.8
0.8
0.8
0.8
0.8
0.8
2.1
2.1
2.1
0.8
0.8
0.8
0.8
0.8
2.1
0.5
2.1
0.8
2.1
0.8
0.8
0.8
0.8
0.8
0.8
2.1
0.5
2.1
0.8
2.1
0.8
0.5
0.5
0.5
Dating Hypothesis Nash, (2 , 1 , 4 ) (1 , 3 , 4 ), (1 , 2 , 3 ) =
(2, 2.1, 2) (1 , 2 , 3 ) = (2.4, 2, 2). 3 4 ( ) 1 2.

.
[40, 36].
10
2.7 2.8 1 () 3
2 (). :
.
1
2
3
4
38
0.1
0.8
0.6
0.5
0.6
0.8
0.6
0.8
0.8
0.8
0.8
0.6
1.4
1.4
1.4
0.8
0.8
0.8
0.6
0.8
1.4
0.5
1.4
0.8
1.4
0.8
0.5
0.5
0.5
0.6
0.8
1.4
0.5
1.4
0.8
1.4
0.8
0.8
0.8
0.8
( ) .
,
. 1 1 2 2 1
3 . ( 3 4 .)
(
), 1 2 (
) ;
, ,
.
,

!
, (
)
() (
).
(focal point equilibrium) [79] (1 , 3 , 4 ) 1 +2 +3 = 6.4
( ). , ,
-. ,
.
2.1.6 Box-Checking Experiment

Nash . (3 4
, ),
.
39

( )
. ( )
! Box-Checking Experiment (
)
[66].
11 :
Box-Checking Experiment: ()
:
1.
2. .

/2 .
/2
.
Status quo:
.
(
) ,
.
.
/.
( )
.
( ) ,
, , .
:
-,
( )
11
Paulos ,
, [66].
40
, ( ) ,
, ,
.
, ( ) .
, .
.
, , (, ),
, . ,
, (, ), .
, ,
( ).
2.9.
1,
0,
1,
0,
: 2.9: Box-Checking Experiment:

.
, , ,
Nash: (, ) (, ). :
, ;
, 12 .
, ( ) : ,
( ). ,
( ).
, Nash , (, )
(, ), , ,
. ,
: 1 1 . ,
12
, , Dating Hypo-
thesis. Nash
.
41
2 1 ( 2.10).
,
, 1
1,
0,
, 1
1
1
1,
0,
: 2.10: Box-Checking Experiment: .
1:

1 = {(1) + (1)(1 )} + (1 ) {(0) + (0)(1 )}

= ( + 1 ) + (1 ) 0
= 2 + .
2:
,
2 = {(1) + (1)(1 )} + (1 ) {(0) + (0)(1 )}

= ( + 1 ) + (1 ) 0
= 2 + .
,
1 = 2 +
2 = 2 + ,

1
= 0
2
= 0,
2 + 1 = 0
2 + 1 = 0.
0 1 0 1.
(
)
( 21 , 12 ), ( 12 , 12 )
.

.
. ,
.
Dating Hypothesis
:
M2
1:
A2
M1
2:
A1
M1
3:
A1
M3
1,
1,
A3
0
0
1,
1,
M3
1,
1,
1,
0
0
A3
0
0
1,
1,
M2
1,
42
0
0
A2
0
0
1,
1,
0
0
: 2.11: Box-Checking Experiment: .
( 2.11)
Nash : (), () (). ,
,
,

(1
2
2 ,
2
2 ),
(1
2
2 ,
2
2 ),
(1
2
2 ,
2
2 )
((0.2929, 0.7071), (0.2929, 0.7071), (0.2929, 0.7071)) .
Box-Checking Experiment -
2.12.
( )
2
3
4
5
6
(
1
(1
, 1 = (0.5, 0.5)
2 2 )
2
2
(0.2929, 0.7071)
2 , 2
(1 1)
2 , 2 = (0.5, 0.5)
)
(0.385728, 0.614272)
(1 1)
2 , 2 = (0.5, 0.5)
: 2.12: Box-Checking Experiment: Nash

.
:
, .
,
! (
.) ,
. ,
, , : ,
43
,
2.12. ( ,
,
):
[12]: Box-Checking Experiment ( ),
, , , Nash
((0.5, 0.5), . . . , (0.5, 0.5)), .
Nash [60] (
) , . ,
, !
:
, (0.5, 0.5).
. ,
,
[32].

.
Box-Checking Experiment : ,
. (

) . , , / .

, ,

2.12! ,
, ,
, . ,
, Box-Checking Experiment .
. , ,
. :
.
(
) ...
.
44
(
). Box-Checking Experiment
[9]. 51
, . 25 ( 51) !
, .
2.2

.
.
( ).
,
,
.
.
, (
) (
). , (Ultimatum Game), ,
2.1.2, . , ,
,
( ).
.
: .
( ) ,
, ( ),
, . ,
, , ,
1 [0, ], . , 1 .
, , 2 {, }.
, 1
1 . ,
.
13 . ,
13
; [43], , ,
. ,
45
( ) : ,

.
, , 1 > 0,
: 1 > 0
. , , 1 ,
1 > 0. (
,
), -
, 1 , . 1
Nash [18]. , (
) ( , ,
[45, 62]). [45], ,
/2 , ,
/3, ,
1/2, ! - [62]
( )
:
...
. (
.)
/4, /3,
/2 1 > 0.
(
Nash); ,
(
, )
. , . ,
,
,
[78];
: (1)
; (2) ( )
/ ;
(3) ,
- , [50] ()

()
.
46
;
. , , , .
.
,
() ,
, ( ),
. , ,
.
. ,
, ,
( , /4) . [45, 39, 78, 62] (
) .
,
14 .

. ,
: ( , ) . ,
, . ,
.
: ( , )
. (
14
. , , ( )
( , , )!
.
; :
1 , 1 ( ). :
; , ,
!
[1]
.
Nash.
47
)
( ).
,
(
)
, , , [34],
Shapley [80], ( [67]).
.
:
:
1. 1 , 1 , , 1 .
2. 2 1 , 2 ,
, 2 .
3. 1 (1 , 2 ) 2 (1 , 2 ), .
, ,
von Stackelberg [83]. 2.3.3.
:
(
).
,
(backwards induction method): 1, (
), .
, 2
, 1
.
, 2 ,
1 1,
,
max 2 (1 , 2 ).
2 2
(2.13)
, (2.13), 2 = 2 (1 ),
2 (1 ) ( ) ,
1 , 1.
.
, 2,
, (2.13),
48
( ), 1,
,
max 1 (1 , 2 (1 )).
(2.14)
1 1
( ) 1 . ,
(1 , 2 (1 ))
.
( ) . ,
( ). ,
Nash Nash
Nash [81].
:
(1)
(2)
(2)
(2)
(3)
2.2.1
1,
5,
0,
4,
: 2.13: , , ,
- .
( )
;
Nash; ,
,
2.1.3.
:
( , ); , ()
() (), ,
: -
49
! , ,

, = 1/(1+), . ( = 1/(1+)
1 .)
: , , (, )
-
, . , 1
- .
(, )
.
, ()
,
. :
;
, , (1 , 2 ) !
: . ( )
- : 1 (1 , 2 ) ,
.
( ).
;
5 (. 2.13)
1 :
= 5 + 1 + 2 1 + . . . = 5 + (1 + + 2 + . . .) = 5 +
.
1
4 :
= 4 + 4 + 2 4 + . . . = 4(1 + + 2 + . . .) =

4
.
1
41 .
( Axelrod) [14]:
Axelrod (
1970) ( -
) :
,
( 200 )
50
1 . ( 62 ),
Anatol Rapoport
:
( Tit-for-Tat): , ,
, . ,
!
: ( ) Nash
,
,
. ,
41 [86].
: , , (, )
1 , .
, , Nash
, , (, ), Nash
[86].
, ( ) :
-

, [0, 1)

( ).
, ,
, (
). Nash ;
: , , ,
, , ( )
: Nash
.
2.2.2 Parrondo
, ,
. , ,
51
, , ,
. ,
; [48]
, Parrondo. ,
;15 ...

:
: = 1/2
1/2 + . > 0, 0.005.

. ,
, , ,
, = 0.
: , , (
) ( ) .
,
3 , . , ,
.
:
[ mod 3 = 0] =
1
10
[ mod 3 = 0] =
9
10
[ mod 3 = 0] =
[ mod 3 = 0] =
1
4
3
4
+ .
, mod 3 = 0 mod 3 = 0
( 40%)
( 60%). ,
,
. , .
,
E [1 0 ] < 0 =
0 mod 3 = 0,
.
15
, Parrondo
. [64]
.
,
. Paulos Scholes,
. .
52

, ..,
, , , !
[48].
:
, 1 2 , . ,
, (, 1 , 2 ), Parrondo 0.032%
. ,
[49].
Clinton, Monica Lewinsky ( , ),

( )
( , ).
Abbott
Parrondo. , ,
Parrondo [52].
2.3
Nash
. , Cournot Bertrand
( )
. Nash
,

Nash.
Cournot
( )!
2.3.1 Cournot
Augustin Cournot (1801-1877)

[29] [ VII]. ,

53
- . , Cournot, ,

( ,
).
() , , : () . Cournot
(
) : .
( , ),
( ). . ,
, ,
() .

, ,
.
,
, :
, , ( )
.
, ,
. (
2.3) . ,
Cournot ,
.
Cournot. ,
.
, 1 2,
, , .
. ,
, .
1 2
1 2 , , = 1 + 2 .
(
), , = (), .
,
. , ,
.
54
. ,
,
,
( ). Cournot. Cournot

. , Cournot
, ().
, , = (),
. : 1) (0) 0. 2) > 0 () > 0, () < 0,
. 3) > 0, () , ,
, .
, ,
,
1 = 1 (1 + 2 )
2 = 2 (1 + 2 ).
(
)
1
1
2
2
=
=
[1 (1 + 2 )]
=0
1
[2 (1 + 2 )]
= 0,
2
(1 + 2 ) + 1 (1 + 2 ) = 0
(1 + 2 ) + 2 (1 + 2 ) = 0
(2.15)
1 2 .
(2.15): , (2.15), ;
:
, , ; Cournot , ,
[29].
, ,
, () > 0, d2 /d2 < 0.
55
Cournot
2.1.
(2.15) (reaction curves) [38]
(reaction function) [23].
,
.
5
: 2.1: Cournot .
(2.15)
2 () + () = 0,
, ,
+ 2
( = ()).
d
d
=0
(2.16)
, (
) , ,
d
d
= 0.
(2.17)
,
(2.15), ,
d
d
= 0.
(2.18)
= 1/
. , , ,
( = 1) .

. ,
.
,
(2.17). , ,
:
.
56
(2.16) ( ), 1 = 2 ,
. . ,
. ,
, 1 (1 ), 2 (2 ), . . . , ( ), .
,
() + 1 () 1 (1 ) = 0
() + 2 () 2 (2 ) = 0
(2.19)
..
.
() + () ( ) = 0,
, , =
= , = 1, .
=1
: (2.19),
)
d (
( ) ( ) .
d
d/d 0, > ( ) < ( ) < ( ) > ( ): ,

( )
.
(2.19) (2.18),
( )
=1
d
d
= 0,
(2.20)
[
] d
+ ()
= 0.
d
(2.21)
(2.20) (2.21)
=1 ( )
().
=1 ( )
> ().
Cournot , , (2.21),
(2.20).
Cournot
57
. ,
: ;
; ;
, ;
( () )
, ,
Bertrand Cournot.
2.3.2 Bertrand
Cournot
.
Cournot
. , 1883
, Bertrand [16]. , Daughety [33] [ 18]
: Cournot
, Bertrand 1883
Cournot.
Joseph Bertrand (1822-1900) ,
Cournot ( Walras [87]). ,
, ( Bertrand16 )
( Bertrand17 ). Bertrand, , Cournot Walras, Journal des Savants,

. ,
, ( )
.
.
Cournot, , - .
16
, , < < 2 2, > 3.
Chebyshev.
17
.
; Bertrand
1/3, 1/2 1/4, . ,

.
58
Cournot () . Bertrand
() , .

. ,
Nash.
, Cournot
. , Bertrand : .
, ,
. ,
.
( ) Cournot . ,
Bertrand, .
[37]:
.
Cournot . ,
Bertrand. , , ,

.
Bertrand Cournot

. ,
. ,
. , Bertrand
1 2 ,
[16].
Bertrand,
(1 , 2 ) = ( ) (1 , 2 ),
= 1, 2,
(2.22)
, , .

:
< , (
) = > . ,
59
.
1 > 2 . , 2 ( )
1 . 1 = 2 ,
, (
). , ,
. , ,
[35].
Bertrand
Cournot ( )
! ,
. , ( ),

. , ,
( Bertrand/Nash) . Bertrand

.
,
.
2.3.3 von Stackelberg
Heinrich von Stackelberg (1905-1946), , Cournot [83],

1934 Cournot. ,
/
, Cournot , , ( , , ) , , .
() , 2.2. ,
, ( )
. ( )
. ,

( )
. ,
( ). ,
60

(expectation rules)

.
.
,
, 1 ( )
, 2 ( ).
. Stackelberg
2 Cournot
. Stackelberg
Bertrand. , () 2, 1 , Cournot,
. , 1
. ,

Stackelberg. :
1. 1 1 ( ).
2. 2 Cournot
2 = 2 (1 ).
(2.23)
3. 1 1 (2.23).
( , [69]) Stackelberg (
Cournot) Cournot
Cournot.
Stackelberg
5. , Stackelberg
.
2.3.4
Cournot Bertrand ( ),
Cournot [29] ,
. (
Bertrand ;), ( )
61
Cournot, Bertrand
,
.

.
Hotelling [51] ,
(
).
( ).

.
. (
)
() . (
Hotelling)
.
,
[77], (
Cournot) [37].
Hotelling :
()
. (.
[76].)
Chamberlin
[27]. (
) . , Hotelling,
Hotelling ( ). , Chamberlin
(
)
( [37]).
. , (
)
5. , , Chamberlin
.
( ) ,
, () () . -
62
, ,
( Bertrand Cournot).
Nash Nash [60]. ,
, .

; ; , ;
Cournot, Theocharis [85] Palander [63] 1939!
63
3.
, .
.
( ) . ,
(
4.2). , ,
.
.
(reaction functions) . 5 ,

. .
.
. .
, ,
.
, .
. , ,
. 4.
.
.
: , .
. , , , . ,
, , - , ,
65
. , :

(.. );
Matsumoto Szidarovszky [58], 3.1, [7]
(periodic driving)
[8].
3.1 -
, , :
.
,
.
/ ,
.
Cournot, ,
() ,
, [29].

( )
.
,
,
,
Cournot (Nash). ,
. (best-response curve)
,
(
, 5, ).
, 1
2, , , , ,
. , ( )
,
1 = [(1 , 2 ) 1 (1 , 2 )] 1 2 = [(1 , 2 ) 2 (1 , 2 )] 2 ,
(3.1)
(1 , 2 ) 1 2 , = 1, 2,
.
66
Cournot
1 + {(1 , 2 ) 1 (1 , 2 )}
1 1
{
}
2 + {(1 , 2 ) 2 (1 , 2 )}
2 2
1 = 1 (2 )
2 = 2 (1 ).
(3.2)
(3.2) Cournot (Nash).

, , .
, :
, , , ,
, ,
, 3.1.
Price Functions
3
p=1q
2.5
p=1Hq+.5L-.1
2
p=1q^2
1.5
p=1Hq^2+1L
1
0.5
0.5
1.5
2.5
: 3.1:
.
Puu [68, 70]
(1 , 2 ) =
1
,
1 + 2
(3.3)
[30].

[2, 6].
+ 0 =
1
,
+ 0
= 1 + 2 .
(3.4)
,
.
( 3.1)
1
,
2 + 1
67
(3.5)
. , ( ) ( ) (utility function)
.
,
.
, ,
.

, 1 2 , [58],
:
1 =
1
1 + 1 2
2 =
1
,
2 1 + 2
(3.6)
0 < < 1, d1 /d1 < 0 d2 /d2 < 0, [68]

[58]. (3.6)
[58], . , .
(3.5),
1 =
1
(1 + 1 2 )2 + 1
2 =
1
.
(2 1 + 2 )2 + 1
(3.7)

. ,
1 (1 , 2 ) = 1 (1 , 2 )1 1 1 2 (1 , 2 ) = 2 (1 , 2 )2 2 2 .
(3.8)
Cournot,
,
:

.
, [58] ,
1 (2 ) 2 (1 ), (3.8)
(3.6), 1 2 = 1 (1 + 1 2 )2 2 1 =
2 (2 + 2 1 )2 , , 1 2 , ,
1 2
2 1
1 (2 ) =
1 2 2 (1 ) =
2 1 .
1
2
(3.9)
68
1 () = 1 (1 (2 ()) 1 ()) 2 () = 2 (2 (1 ()) 2 ()),
(3.10)
, = 1, 2,
( ).

Cournot. , , ,

,
1 () = 1
1
1
2 () = 2
2
,
2
> 0,
= 1, 2,
(3.11)
, (3.6) (3.8),
1 () = 1
1 2
1
(1 + 1 2 )2
2 () = 2
)
2 1
2 .
(2 + 2 1 )2
(3.12)
, (4.4)
.
, (3.7), (3.12), [58]. ,
1 (1 , 2 ) =
2 (1 , 2 ) =
1
1 1
1 + 1 2
2
2 2 .
2 1 + 2
(3.13)
1
= 0
1
2
=0
2
(3.14)
Cournot
1 2
1 = 0
(1 + 1 2 )2
2 1
2 = 0.
(2 1 + 2 )2
(3.15)

, (3.12),
2 1
1 2
1
=
2 2
2
1 2
2 1
1 2
2 2
2 2
2
69
2 + 2 + = 0,
(3.16)
2 1
2 2
= 12 1 2 21 2 2
1
2
)
( 2
2
2
1 2 2
1 2
1 2 .
=
1 2 1 2
12 22
y
5
y
5
1
1
(3.17)
: 3.2: (, ) = (1 , 2 ) MS 1 =
2 = 0.5, 1 = 1, 2 = 1.1 () 1 = 0.7, 2 = 0.2, 1 = 0.4, 2 = 1.3 ().

1 , 2 (0, 1) (0, 1).
1,2 =
(3.18)
> 0 > 0
.
MS
(3.10) [58]. (3.12) , ,
, , (3.18),
(1 , 2 , 1 , 2 ) . 1 2
(0, 1) (0, 1),
(1 , 2 ) 3.2 1 2 .
70
3.2
1
1 1
(1 + 1 2 )2 + 1
2
2 2 .
(2 1 + 2 )2 + 1
1 (1 , 2 ) =
2 (1 , 2 ) =
(3.19)
, (3.14),
1
21 (1 + 1 2 )
2
(1 + 1 2 ) + 1 [(1 + 1 2 )2 + 1]2
1
22 (2 1 + 2 )
(2 1 + 2 )2 + 1 [(2 1 + 2 )2 + 1]2
= 1
(3.20)
= 2 .
(3.21)
(),
(3.20) (3.21) 1 = 1 (2 ) 2 = 2 (1 ), .
:
1 = 1 (2 ) 2 = 2 (1 ) ,
1
1
=
2
2
2
2
=
,
1
1
(3.22)
(3.20) 2 ( 1 2 ) (3.21)
1 ( 2 1 ). ,
1
2
12 2 (312 12 22 1) + 21 1 (12 1)
1
= (1 , 2 ) =
2
2
2
2
1 2 (31 1 2 + 21 2 + 2) 1 (1 3)
(3.23)
2
1
22 1 (322 22 12 1) + 22 2 (22 1)
2
= (1 , 2 ) =
.
1
2 1 (32 1 2 + 222 12 + 2) 2 (22 3)
(3.24)
(3.10), 1 = 2 = 1
.
= ( )
2 1
1
1 (2 )
2 + 2 + 1
2 1
= 0.
1 2
(3.25)
, , (1 , 2 ),
, , (3.20) (3.21) .
, (3.22), (3.23) (3.24), (3.25)

2 + 2 + 1 (1 , 2 ) (1 , 2 ) = 0
(3.26)
= 1
(1 , 2 ) (1 , 2 ).
(3.27)
71
3.3 1 2
(0, 1) (0, 1). , (1 , 2 ) 1 < 0 2 < 0
-.
y
1.25
1.25
0.75
0.75
0.5
0.5
0.25
0.25
x
-0.25
0.25
0.5
0.75
1.25
x
-0.25
-0.25
0.25
0.5
0.75
1.25
-0.25
: 3.3: (, ) = (1 , 2 ) 1 = 2 =
0.5, 1 = 1, 2 = 1.1 () 1 = 0.7, 2 = 0.2, 1 = 1, 2 = 1.1 ().

3.2.
(3.7) (3.11)
, (1 , 2 ),
(1 , 2 ) ( 3.1).

. ,
.
: .
3.3
Cournot ,
.
/ , , 1 2 , (3.13) (3.19).
, ,
1 2 .
MS, 3.4,
3.2, 1 2 1 2, .
,
MS -
. 1
2
(1 , 2 ).
u2
u2
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0.2
0.4
0.6
0.8
u1
0.2
0.4
0.6
72
0.8
u1
: 3.4: MS, (3.13), 1 = 2 = 0.5 () 1 = 0.7,
2 = 0.2 ().
,
1 , 2 ()
(1 , 2 ), 3.5.
u2
u2
0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1
0.1
0.2
0.3
0.4
0.5
u1
0.1
0.2
0.3
0.4
0.5
u1
: 3.5: , (3.19), 1 = 2 = 0.5 () 1 = 0.7,
2 = 0.2 ().
3.6. , 1 > 2 , 2
1 1 2
1 2,
1 < 2 .
, ( [61])
: ,
, (, 2)
(, 1)
2 < 1 ,
.
u1
73
u2
0.5
0.5
0.4
0.4
0.3
0.3
0.2
0.2
0.1
0.1
0.2
0.4
0.6
0.8
p1
0.2
0.4
0.6
0.8
p2
: 3.6: , (3.19), 1 = 0.7,
2 = 0.2 1 () 2 ().
3.4
,

. , ,
- ,
.
-
( )
.

, , . Matsumoto Szidarovszky (MS),
(, ) . , ,
MS,
.
, ,
MS. ,
, 1 2 ,

. , 2
/ 1
, 2 < 1 ,
1 2.
74

, 1 2 , ,
1 () =
2 () =
[
[
12 22 12 + 1
(3.28)
22 12 22 + 1
(3.29)
]2 1
(1 + 1 2 )2 + 1
]2 2 ,
(2 1 + 2 ) + 1
2
[0, 1].

. ,
, ,
.
Poincare
map, .
, (3.28)-(3.29)
.
, , ,
, , 2 1.
(3.28), (3.29)
1 () =
2 () =
12 22 12 + 1
[
]2 (1 + cos )
(1 + 1 2 )2 + 1
22 12 22 + 1
[
]2 [2 + cos( + )] .
2
(2 1 + 2 ) + 1
(3.30)
(3.31)
, , .
, 1 () 2 () > 0 ,

( )
1 = 10 + 11 + 2
( )
2 = 20 + 21 + 2
(3.32)
(3.30) (3.31) (2 ).
(10 , 20 ) (3.28), (3.29) ( 1 ,
2 ) = /2,
(3.32),
11 () = 11 11 + 12 21 cos
21 () = 21 11 + 22 21 sin ,
(3.33)
, , 1 , 2 , 1 2 .
(3.33)
75
,
= { } .
(3.33), ,
11 () 11 = 1 cos + 1 sin
21 () 21 = 1 cos + 1 sin .
(3.34)
, (3.28) (3.29),
() 4.7 ,
1 = 0.7, 2 = 0.2, 1 = 2 = 0.4, = 0.01, = /5 = /2. ()
(3.30), (3.31) (1 , 2 ) Poincare map
= 2/ .
.
yHtL
0.54
0.53
0.52
0.51
0.50
0.36
xHtL
0.37
0.38
0.39
0.40
0.41
0.42
: 3.7: () (3.30), (3.31) (1 , 2 ) Poincare

map.
3.7
5.0582412 + 2.831391 2 + 8.9268822 0.000397514 = 0,
(3.35)
(3.34).
, 1 (), 3.8
driver, .

, 1 () 2 (),
.
.
, . ,
() . , () ()
76
xHtL
0.395
0.390
0.385
t
20
40
60
80
: 3.8: , 1 ().
() , ,
Poincare map .
,
.
.
drive .

.
77
4.
3
. ,
, ()
.
,
.
. ,
=1
, = , = 1, . Cournot
()
.
.
.
. .
;
.
. ,
.

.

(1 , 2 ) = 11 22
(4.1)
. Wicksell, Cobb Douglas [28] .

Cobb-Douglas , (4.1), (
). Puu ( )
79
[5]. 1 2 ( ),
. (1 , 2 )
(4.1) 1 + 2 = 1 ( ) , 1 ln 1 + 2 ln 2 ,
= 1 1 + 2 2 , .
( .) Lagrange
= = 1, 2. = / .
()
= 1/ . ,
( )
.
.
[82, 46]
(1 , 2 ) = ( + 1 )1 + ( + 2 )2
1
2
( 2
)
1 + 22 + 21 2 ,
(4.2)
, [0, 1] ( -
= 0 = 1 , ,
). , 1 2
. , (1 , 2 ) 1 1 +2 2 = .

= + = 0,
= + . ,
= (1 + 2 )
> 0 > 0.
, . ,
.
, .
,

.
Cournot . Bertrand
,
80
. , , 4.3,
.

.
, Cournot
.
() , = ( ),
Cournot-Nash. ,
( + 1) = ( ())
(4.3)
+ 1 ,

.
() Markov.

: +
1 , (),
, ( ()),
( + 1) = (1 ) () + ( ()),
(4.4)
[0, 1] . -
(4.4)
3.1 [7].
, : -
(bounded rationality adjustment process)

,
. ,
( + 1) = () + ( ())
(),
(4.5)
( )
.
( ) = , .
( ) = [8].
[84]
. ,
,
= ( ( ()) ()) .
81
()
, ()),
() =
( + ) ()
+ ( ),
( + ) = (1 ) () + ( ()) + ( 2 ),
( )2 , 0 < << 1.

, .
,
.
4.1
,
,
. Theocharis [85],
20
Palander [63] . Puu [68, 69, 70]
Agiza [2, 6].
4.1.1 Theocharis
(
),
= .
- =
(4.6)
=1
/, .
, = ( )
. (total revenue)

= ( ( + ))
(marginal revenue)

= 2 .
82
(total cost)
,
= .
,

= .
( , ) = = ( ( + )) .

/ = 0 ( ). ,
,
1
2
)

,
= 1, .
(4.7)
: , (4.7)
Cournot
2.3.1. , (4.7)
,
.

=1 .
(4.7)

+ ( + 1)
=
.
+1
( + 1)
(4.8)
Cournot ,
= 1, , (4.8).

.
+1
= =
+
.
+1
Cournot

. ( = 1) ,
( = 2)
. , 1/( + 1)
/( + 1) , . ,

1
=
+ ( + 1)
+1
)2
83
,
. ,
. ,
.
(4.7) , ()
( + 1) = ( ()) =
1
2
)

() ,
= 1, .
(4.9)
: + 1

( ). (4.9) ()
. ,
Cournot, (4.8), (4.9).

.
:
( + 1)
=
()
21 , =
0,
, = 1, .
(4.9)
0 12
1

0
2
=
.
.. . .
..
.
.
1
1
2 2
12
12
..
.
, , Cournot. ,

.

= 0
(
)1 (
)
1
1
+
= 0.
2
2
(4.10)
1 = 1/2 < 1,
- :
= ( 1)/2.
, (1 = 1/2 2 = 1/2)
. , ,
3 = 1
4.2.
( > 3), -
Cournot .
84
4.1.2 Puu
Cournot
. .
Theocharis , . Puu
.
( Cobb-Douglas)
:
1
1
=
1 + 2 + . . .
(4.6).
. ,
4.4 .
( ).
:
1 (1 , 2 ) =
2 (1 , 2 ) =
1
1 1
1 + 2
2
2 2 .
1 + 2
(

)
2
2
1
1
2 (1 ) =
1 .
2
1 (2 ) =
, (1 , 2 ),
Cournot
. , , :
)
2
1
,
,
=
(1 + 2 )2 (1 + 2 )2
(
)
22
21
(1 , 2 ) =
,
(1 + 2 )2 (1 + 2 )2
(1 ,
2 )
= 1 + 2 ,
(4.11)
1
.
1 + 2
1 ( + 1) =
2 ()
2 ()
1
2 ( + 1) =
1 ()
1 ().
2
(4.12)
85
(4.12), , (4.11),
= 1 2
22
2 1
21
.
0
det = 1 2 1,
(1 2 )2 41 2 .
(4.13)
, ,
Cournot
1
32 2
3 + 2 2.
2
(4.14)

, , , [68].

(4/25, 25/4).
( ) ,

2 + 3
2 3
1
3 + 1
=
3 1
2
1 + 2
=
1 2 .
3
1 =
2
3
Cournot
(1 ,
2 ,
3 )
2(2 + 3 1 ) 2(3 + 1 2 ) 2(1 + 2 3 )

,
,
(1 + 2 + 3 )2 (1 + 2 + 3 )2 (1 + 2 + 3 )2
(4.15)
(1 ,
2 ,
3 )
(2 + 3 1 )2 (3 + 1 2 )2 (1 + 2 3 )2
,
,
(1 + 2 + 3 )2 (1 + 2 + 3 )2 (1 + 2 + 3 )2
(4.16)

. 5,
Stackelberg.

.
.
[6].

(piecewise linear).
86
.
( )
4.3
.
4.2
(
Theocharis). , , .
.
:
(4.9),
- :
( + 1) = ( ()) =
1
2
)
() , ()
0,
() >
= 1, .
(4.17)

(, , ).
. , ,
(4.17) , ,
. ,
. , ,
,
. ,
,
Cournot [25].
- (4.17) ( )
. ,
( )
1 =
1
2
+ 1
2
( , , ). , :
;
2 .
87
(4.17)
.
2 < ,
, .
q
0.5
0.4
0.3
0.2
0.1

10
20
30
40
50
: 4.1: : 1 = 0.6 2 = 0.9 ( = = 1).

.
q
0.20
0.15
0.10
0.05
t
0
10
20
30
40
50
: 4.2: : 1 = 0.6 2 = 0.7 ( = = 1).

.
. ,
( 4.2). ,
, ,
4.1.
Cournot = = 1.
, ,

. 4.3
(2 = 0.2) .
88
q
0.6
0.5
0.4
0.3
0.2
0.1

10
20
30
40
50
: 4.3: : 1 = 0.6 2 = 0.2 ( = = 1).

.
.
( 3 ). ( Cournot)
, (4.17),
(1 ,
2 )
21 + 2 + 1 22
,
3
3
, ,
2
3
+ 1 + 2
.
3
,
( - ).
3 < ,

.
q
0.30
0.25
0.20
0.15
0.10

0.05
10
20
30
40
50
: 4.4: : 1 = 0.5, 2 = 0.6 3 = 0.75 ( = = 1).

.
89
:

( 4.4).
, . ,
, 4.5.
q
0.20

0.15
0.10

0.05
t
0
10
20
30
40
50
: 4.5: : 1 = 0.5, 2 = 0.6 3 = 0.65 ( = = 1).

.
4.6 status quo .

.
q
0.35
0.30
0.25
0.20
0.15
0.10

0.05

0
10
20
30
40
50
: 4.6: : 1 = 0.5, 2 = 0.6 3 = 0.25 ( = = 1).

,
.
,
. 4.7
(
90
).
q
0.35

0.30
0.25

0.20

0.15
0.10
0.05
10
20
30
40
50
: 4.7: : (1 , 2 , 3 , 4 , 5 ) = (0.5, 0.55, 0.6, 0.52, 0.35).

.
,
, . ,
.
5.

, .
,
, .
4.3

. , ,
.
. Theocharis,
Cournot.

. ,
: . ,
. -
91
.
(
(capacity limits) [35]).
.
[72, 73, 74]. ,
.
. Cobb-Douglas
() =
=
=1
= .

. . , , .
, ,
.
.
2
.

(4.18)
( ).

lim =
lim = .
, ,

.
2
=
( )2

= ,
=0
(constant elasticity of substitution

(CES)). Cobb-Douglas
( ).
.
[72, 74].
92
, .
,
( 2 )
=
=0
( )2
= 2 .
, (4.18),
,
= 4 .
: , = 2 . , , , ,
.
:
, ()
+
( + 1) = ( ()) :=
,
() >
= 1, .
(4.19)
( + 1) = ( ()) :=
1
2
, ()
() >
1
4
1
4
= 1, .
(4.20)
, (4.19) (4.20),
, .

.
. (indicator function) [74].
() . ,
.
.

93
. , ( )
,
( )mod = 0.
(4.21)
( + 1) = (, ) ( ()) + (1 (, )) ( ())
( + 1) = 2(, ) ( ()) + (1 (, ))
(. (4.19) (4.20).)
(, ) (4.21),
. , = 0.25 = 106 .
modus operandi ( ) : ,
1 , , 1 = 21 . ,
. 1 ,
, 2 , 2 = 22 . . ,

(4.21). . 3 = 1 + 2 , 3 , 3 = 23 .
.
.

( ) .
,
, (4.21),
.
, ,
, .

Cournot.
2 , = 100. 4.8
() = 10 .
= 10, = 20
2
, , , .
(, ).
94
... ( ) .
( ) , , .
,
. :
4.8;
0.8
0.6
0.4
0.2
200
400
600
800
1000
: 4.8: = 100 = 10.
= 3 = 4.
.
, ,
. ( 4.9) , ,
( ) ,
( ).
(intermittency) .
0.8
0.6
0.4
0.2
50
100
150
200
250
300
: 4.9: = 3 = 4.
4.10 = 15 .
. = 7 = 5.
. , [74],
= 8,
95
0.8
0.6
0.4
0.2
100
200
300
400
500
: 4.10: = 7 = 5.
4.4
Cournot.
. ,
. , , [3, 4, 20].
,
(bounded rationally)
, [3]. (
, (4.3), (4.4), (4.5), .)
: [3]
.
. ,
.
.
. .

.
( )
.
96
.
. ( )
. ,

= ,
= 1 + 2 .
, 1 2 , ,
(1 , 2 ) = ( ) .

1
1
2
2
= 21 2 1
= 1 22 2 .
(4.22)
. ,
Cournot, .
, , (4.5),

1 ( + 1) = 1 () + 1 () ( 21 () 2 () 1 ) ,
(4.23)
, (4.3),
2 ( + 1) =
1
( 1 () 2 ) .
2
(4.24)
Cournot (4.23) (4.24)
(1 ,
2 )
+ 2 21 + 1 22
,
3
3
[3]
<
12
.
5 ( 21 + 2 )

( 1) .

.
4.11 - 4.14 = 10, = 0.5, 1 = 3 2 = 5.
4.11 .
1 . , 1
97
q
8
Firm 1
Firm 2
t
0
20
40
60
80
100
: 4.11: .
.
2 . ( 4.11 4.12)
= 0.41. . ,
(. 4.13)
, .
p
10
t
0
20
40
60
80
100
: 4.12: . .
u
20
15
10
20
40
60
80
100
: 4.13: . .
4.14 .
, 1 2 , , .
( 4/15,
) Cournot (6, 2) .
, , -
98
. ,

[22]. > 0.4.
0.1
0.2
0.3
0.4
: 4.14: , 1.

.
, .

Cobb-Douglas
. , ,
[10].
q
0.30
0.25
0.20
0.10
0.15
0.05
0
20
40
60
80
100
: 4.15: .
.
1 = 3 2 = 5 (. 4.11). 4.15
( )
= 0.7.
4.17, .
, , .
4.16 = 0.84. .
. = 0.5678 -
99
0.8
0.6
20
40
0.2
0.4
60
80
t
100
: 4.16: . .

4.17. ,
= 0.8,
.
0.20
0.15
0.10
0.05
0.2
0.4
0.6
0.8
1.0
: 4.17: 1 .

. ,
,
.
:
. ,
, .

. ,
, 1

1 =
1
,
1 + 1 2
2 =
1
1 + 2
(. 3.1 ).
100
0.30
0.25
0.20
0.15
0.05
0.10
0
20
40
60
80
100
: 4.18: .
.
p
60
50
40
30
10
20
t
0
20
40
60
80
100
: 4.19: . .
1 = 3 2 = 5. , 4.18, 4.19 4.20,

, , ,
1 = 0.8.
1 ,
4.21. , ,
, .

.
u
0.8
0.6
0.4
0.2
t
20
40
60
80
100
: 4.20: . .
4.21 = 0.6 , , , 1 .
101
1 Cournot (Nash) . 1 1
0 .
, ,

.
0.14
0.12
0.10
0.08
0.06
0.04
0.02
0.2
0.4
0.6
0.8
1.0
: 4.21: .
. , .
, , 4.22
4.23. , 4.22 , , 1 , = 0.6 2 = 0.7 4.23 = 0.6
2 = 0.3. 2
1 .
0.14
0.12
0.10
0.08
0.06
0.04
0.02
0.2
0.4
0.6
0.8
1.0
: 4.22: 2 = 0.7.

[11]. 5.
0.14
0.12
0.10
0.08
0.06
0.04
0.02
0.2
0.4
0.6
0.8
1.0
: 4.23: 2 = 0.3.
102
103
5.
.
.

. , , ,
.
, .

. Dating Hypothesis Box-Checking Experiment. Dating Hypothesis
, . , 2.1.5,
Nash. ,
:

. Dating
Hypothesis Nash
, , .
, Box-Checking Experiment, 2.1.6,

.
Nash
.
.
, 3
4
. , 3,
,
.
105
Matsumoto Szidarovszky (MS) [58],

.

, (MS),
.
(MS)
. (
)
[7]! ( )
. ,
.
.
- ,
()
[8]. , ,
, .. .
4 .
- .
,
[68]. [73, 25, 74],
[3] .
[10].
, , ,
[25].
[11].
:
5.1

.
: -
106

.

(Bayesian games).
(
)
.
.
,
.

.
Cournot [29]. ,
( ) = ,
1 , 2 .
:
1. , 1 2,
.
= 1 + 2 .
[68],
() =
1
1
.
=
1 + 2
2.
.
. , = [0, ). , ,
, 0.
3. , ,
( , ) =
.
+
, ,
(
)
max ( , ) = max
( )
107
Nash1
(1 ,
2 )
2
1
,
2
(1 + 2 ) (1 + 2 )2
(5.1)
, Cournot,
1 =
22
(1 + 2 )2
1
2 =
,
(1 + 2 )2
.
. , Newton-Raphson,

. , Cournot (Nash),
.
1 2
Cournot, . (5.1).
, 3, .
3 , ( 1 2 ),
3;

Stackelberg [83], , ,
( Cournot)
.
1 .
Cournot (5.1).
2 .
1
. , 1 2 , ,
, 1 0 2 0, .
2 3 1 2
3 0.
3 (1 , 2 , 3 ).
1
Nash, 1950, , , ,
,
Nash [60]. Cournot, 1838,
[29].
108
,
. 1
2.
1 (
3) .
2 . (
(1 , 2 ),
Cournot , ,
, !) 3 , 3 ,
. , .
3 Cournot.

Cournot. Cournot (Nash) [69]
(1 ,
2 ,
3 )
2(2 + 3 1 ) 2(3 + 1 2 ) 2(1 + 2 3 )

,
,
(1 + 2 + 3 )2 (1 + 2 + 3 )2 (1 + 2 + 3 )2
(5.2)
,

. . Stackelberg. ,
.

() =
1
1
=
1 + 2 + 3
( , ) =
,
+
,
.
Stackelberg
, ,
max 3 (3 , 3 ) = max
03
3
3 =
3 .
3
3 3
3
3 3
3 + 3
(5.3)
(5.4)
Stackelberg (5.4),
1 =
1
2
1 1 2 = 3
2 2 .
1 + 2
1 + 2
(5.5)
109

(5.5).
1
3
1
+ 2 = 1 3 2 (1 + 2 ) 2
2
1 =
1 +
93 22 1
4 (1 + 2 )3
1
3
2
= 2 3 2 (1 + 2 ) 2 ,
2
93 21 2
2 =
.
(5.6)
4 (1 + 2 )3
Stackelberg
3 =
3(21 + 22 33 )
.
4(1 + 2 )2
(5.7)
: 3
( 1 2 Stackelberg) (
Cournot ).
2(1 + 2 3 )
3(21 + 22 33 )
.
2
(1 + 2 + 3 )
4(1 + 2 )2
1:

.
2 ( )
. , 1
( ),
2 .
: 2
1, 1
2 2 (, yes) 2 (
no) 1 .
1 (1 , 1 ) =
2 (2 , 2 ) =
3 (3 , 3 ) =
1
1 1
1 + 1
1
1 1
1 + 2
(5.8)
2
2 2
2 + 2
3
3 3
3 + 3
= 0
(5.9)

(5.10)
1
;
.
110
5.2

.
,
. ,
. ,

.
2 , = 1/, (
) ,
1 = 1/(1 + 1 2 ) 2 = 1/(2 1 + 2 ).
, 1 2 . , ,
3 . ( , ) = (2 ) .
4 (
).

1 =
2 =
1
(2 1 )1 1
1 + 1 2
2
(2 2 )2 2 .
2 1 + 2
(5.11)
(5.12)

.
.
1 = 1 (2 ) =
2 = 2 (1 ) =
1 2
1 2
(2 1 )1
(5.13)
2 1
2 1 .
(2 2 )2
(5.14)
. :
H
ackner-Singh-Vives Cobb-Douglas. . .
3
.

. HSV
( , ) = + 2 . ( , ) = ( ) .
4
Chamberlin [27, 37] ( 2.3.4).
111
( ).
. ,
.
1 =
2 =
(
)
1
2
1
2
1
(
)
1
1
2 .
1
2
(5.15)
(5.16)
: , 1 ( = 0) = 2 ( = 0) = 1.
, 1 = 2 , , 1 2 . (

.)
, (5.13) (5.14)
Cournot-Nash, , (1 , 2 ), ,
, 1 2 .
, [74], () ,
( )mod = 0,
(5.17)

. = 20 = 10. , 1
(5.15) = 10, 30, 50, . . . 2 (5.16)
= 20, 40, . . . , , (5.13)

(5.14) .
,
1 ( + 1) = 1 (2 ()) :=
2 ( + 1) = 2 (1 ()) :=
1 2 ()
(21 )1
1 2 (), 0
= 0.001,
2 1 ()
(22 )2
2 1 (), 0
= 0.001,
(
)
1
2
1 ( + 1) = (, )
1 + (1 (, ))1 ()
2
1
(
)
1
1
2 ( + 1) = (, )
2 + (1 (, ))2 ()
1
2
(, ) =
1, (5.17)
0,
(5.18)
(5.19)
(5.20)
(5.21)
(5.22)
112
1) = 0: 1 = 2 = 1 , , 1 = 2 = 1.
2) = 1, 2, . . . , 9: 1 = 2 = 1 ( , (5.17) )
(5.18) (5.19). 1 2 .
3) = 10: (5.17) 1 , (5.22),
(1, 10) = 1. ( (2, 10) = 0.)

(5.20), (5.18) (5.19).
4) = 11, 12, . . . , 19: (5.18) (5.19).

1 , 2 .
5) = 20: (5.17) 2 ,
(5.22), (2, 20) = 1. ( (1, 20) = 0.) ,
(5.21), (5.18) (5.19).
...
. . ,
:
: ,
Hackner-Singh-Vives [4, 41] , .
113
114
115
116

.

.
6.

. 10
.
(financial assets)
.
.
Black-Scholes
, . 6

.
7
Sophus Lie.
.
8 .
.
Lie
.
9.

.
( 10) ,

.
117
6.

.
, /
.
( ):
( ).
,
.
,
,
(
). .
:
() ;

. (
)
( ) .
, ( ), ,
, , , .

:
,
.

() /
( )
( ).
. ,
119
,
. (
)
( ) (
) (
, ).
,
.
10 .
5 ,
, 2.5 .
1 2
.
. ,
, 0 .
,
= ( ) +
2
.
=1
, , = 0. ,
()
, , .

, , . ,
.
,
, , , .

.

40 60
[51].
60
[26]. , ,
. ,

: , , ,
, , , ,
[66, 63, 27, 34, 91].
120
, Cournot

Nash
.
: ,
(, < 1). ( )
, . ,
, .
/ (
).

.
.
. , .

50 ( )
(, ,
). ,
50 .
, (
) ( )

,
.
()

( , ) .
:
[42]. ,
, ,
. ,
121
Lie .
( ) /
.
6.1
, (, )
, , .
, ,
.. (...)
() ...
( ) (
, , )1 .
, ( = 0) 2
(EUR) (USD) 0.79 EUR/USD.
... 10 100,000USD
( = ). ...
:
(
) ;
(790,000EUR) .
,
, , (
). ...

,
, .
( )
1
. ,
, .
, ,
( ) .
. , , .. ( zero coupons),
( convertible bonds).
2
. .
[4], , 21 , 2006, 09:00 .
122
.
.

, , , , ( ).
, :
()
, swaps3 , 4
() ( ), , (
caps, floors collars5 ), swaps ( swaptions),
(options on futures), inter alia, passport,
Himalaya, Asian Bermuda ( ).
( )
.
...
.
( )
.

. .
, ,
. ,
3
Swaps .

. ,
,
, . swaps
. ,
, swaps swap
.
4
, , , , .
5
. cap ( floor)

( ) cap ( floor).
.
floor cap. collar cap floor.
123
.
...

, .
... .

.
() , , ( )
() , ,
, .
, , : ... ( = 0)
(, , ) 1,000,000USD ( = ) EUR/USD.
( = ) ...
1,000,000 EUR. ( )
( = 0). ( )
,
.
, , 0.82 EUR/USD ...
. ( = )
0.82 EUR/USD.
( ) ...

. , ...
, , () (hedging) ( = )
..
(
).
, , 0.92
EUR/USD. ...
(,
124
) 100,000 . ,
, , 0.72 EUR/USD, ...

100,000 . ,
,
.
( = 0)
, .

( )
; ,
... ( );
...
.

( , , , , )
. .

( , option premium) , ,
( , strike or exercise price). .
.
,
.
.
: (call option)
(put option).
( ) ( ).
:
.

( ). 6 .
6
( , calls or puts)
spread option. combination.

spread ()
(,
125

.

. ,
, ,
. ,
,
premium.
.
, ,
, , ,
.
.

. , , , ( ),
, (

.
: . .
.
, ...
= (
),
.
( ) .

. ( ),
, .
...

, ).
/
(
).
126
() .
6.2
, , . ,
,
. ( )
(
).
. ,

.
. ,
, .
, National Association of Securities Dealers
Automated Quotations (NASDAQ) 1971.
. 1876. 1999 2002

(ATHEX) 110, GR-10442,
( 2007 ATHEX ).
.

1973 Chicago Board Options Exchange
.

1 50
! ,
.
:
(
)
. , ,
.
Markowitz [64] Sharpe Miller [87].
(
127
) . (
Bachelier 1900
.) ,
/ .
, . Markowitz, Sharpe Miller
Nobel 1990
. Nobel

, 1997, Scholes Merton.
. ( ;)
() . ()
,
. ,
(efficient).
( no arbitrage) (
) ( ) 7 .
( !)
.
, , , ,
:

! (

.)
(Modern Portfolio Theory (MPT)) Markowitz [64, 65].
.
.
() (,
). , 7
(Efficient Market Hypothesis)
Fama 1960, .
128
() (
), ,
, . , ,
()
(
-).

(Capital Asset Pricing Model (CAPM)). CAPM
.
, . CAPM Sharpe [87]. ,
.
.
(
)

.
,
, ,
. , .

, (Option Pricing Model (OPM) Black Scholes [10]
Merton [68]. Scholes Merton Nobel 1997 ( Black Nobel ).
Black-Scholes
.
6.3

.
(
) .
, ( )
, , , ,
129

(
).
(Option Pricing Model (OPM))
Black Scholes

. , Merton,
Nobel 1997 Scholes ( Black
1995 Nobel
).
OPM .
, , Monte
Carlo . ,
8 ,
.
.
6.1, ( , ,
) / . , , .
( )
.
, ,
.
, ,
. , , .
( )
, , () .
. ;
; (

.)
8
-
. , , Friedman ,
.
130
,
, . , ,
. , ,
. , (drift),
, (volatility),
. , 9
Brown (
, Wiener)
. ,
( ) .
( ), , .
, , ,
: , ,
, ( ). ,
(, ) = max(0, ).
(6.1)
: (, 0) = 0 (, ) .
, ( ),
Brown,
Ito ( ). ,

d = d + d.
(6.2)
(6.2) ()
Brown, d ().
(6.2), Ito [98],
() = (0) exp
{(
)
}
21 2 + .
10 (, ), Ito

d =
9
2
d +
d + 12 2 2 2 d.
(6.3)
.
, , (
) (
).
10
, ,
.
.
.
131
:
, .
, ;
. , ,
, , ,
.

( ).
(delta hedging).
,
= (, ) .
(6.4)
.
(6.4)
d = d d,
, (6.3),
d =
d +
d + 21 2 2 2 d d.
(6.5)
,
.
,
(6.6)
[98] : (6.6)
( ).
.
. Thorp Kassouf [93] . , ,
Nobel!
, (6.5) ( ). , Black Scholes

d = d,
(6.7)
,
.
. (6.4), (6.5) (6.6) (6.7), Black Scholes
1 2 2 2
+ 2
+
= 0.
2
(6.8)
(6.8)
. 8.1 .
132
, ,

(6.8).
Black-Scholes .
(
). , -,
.
, : 11 . Wilmott [98]:
, ,
. . ,

. . ,
,
.
. -.
; .

. , , ( ).
, , (), ,
, . Black-Scholes.

Brown, (6.2). ,
, , , (, )
. , ,
(6.2) .
Black-Scholes, (
)
( ).
,
. ,
/. 11
, , , -

.
.
133
, ,
. . [7][Appendix].
7. LIE
.
. , ,
.
, ,
.
,
Black-Scholes, ,
/
( , , ). : ,
Monte-Carlo, , .
( ).

.
, Lie
; .
Lie
.

. [1, 2]. , . [23, 77, 78, 89, 99]. ,
.
. 7.1, 7.2 7.3
Lie, , Lie, Lie
, .
Lie [53, 55, 56, 57, 58, 59] Lie
Morosov Mubarakzyanov [71, 72, 73, 74].
Lie . Lie
.
135
Lie
. -- 1
:
, ( ),
.
7.1 Lie
(, , (, ), , , . . .) = 0.
(7.1)
, ;
(7.1)
.
.
. (7.1) ,
( ),
Laplace .
. . ,
, (7.1) -,
( , ,
) .
, :
, ,
, . ,
.
, ,
(7.1) .
( !)
. ,
, ,
. Lie
1
Lie, .
136
: () /,
= +
= +
= + ,
= (, , ), = (, , ) = (, , ) .
, ,
, .
.
. ,
( ), , , . , ,
(, ) , ,
,
, , , , -.
(),
= + + ,
= (1 + ) =
+ (, , (, ))
= (1 + ) =
+ (, , (, ))
= (1 + ) =
+ (, , (, )) .
(7.1) (, ),
.
d
=
d
+
d
(7.2)
137

, d
, d
d
:
d
= d + d
= d + d + ( d + d + d)
= d + d + ( d + d + d + d)
= d { + + } + d { + + } ,
(7.3)
= d + d
= d + ( d + d + d)
= d + ( d + d + d + d)
= d { + } + d {1 + + }
(7.4)
d =
d + d
= d + ( d + d + d)
= d + ( d + d + d + d)
= d {1 + + } + d { + } .
(7.5)
(7.3), (7.4) (7.5) (7.2),

d { + + } + d { + + }
= d {
(1 + + ) +
( + )}
+ d {
( + ) +
(1 + + )} ,

+ + =
( + ) +
(1 + + )
+ + =
(1 + + ) +
( + ) .
(7.6)
(7.7)
(
)
+ ( + + + )
1 + ( + + + )
= [ + ( + + + )]
[1 ( + + + )]
= + ( + )
= + { + ( + ) ( + )}
(7.8)
138
+ ( + + + )
1 + ( + + + )
= [ + ( + + + )]
[1 ( + + + )]
= + ( + )
= + { + ( + ) ( + )} .
(7.9)
, ,
= + + ,
(7.10)
[1] = + { + ( + ) ( + )}
+ { + ( + ) ( + )} ,
(7.8) (7.9), , ,
,
[2] = [1] + { + + + ( + )
2 ( + ) [ + + + ( + )]
2 ( + ) [ + + + ( + )]}
+ { + + + ( + )
( + ) ( + + + ) ( + )
[ + + + ( + )]
[ + + + ( + )]}
+ { + + + ( + )
2 ( + ) [ + + + ( + )]
2 ( + ) [ + + + ( + )]} .
.
( , [13]).

,
.
(). , (7.10), ,
, [78].
(7.1) , (7.10),
- , = 0:
[] =0 = 0.
(7.11)
139
= 0
( ,
). (7.11)

, , .
Lie .
, (
),
.
.

.
SYM Mathematica [21, 22, 23].
7.2 Lie
, , . , ,
:
( , ) . ,
.
() .
.
Lie, . ,

, . .
(gauge) (
)
.
, .
- ,
(. 7.3),
140
. , (terminal value conditions),

.
(
) ,
Lie.
= (, , ) + (, , ) + (, , ) , = 1, . . . , ,
(7.12)
, Lie
[1 , 2 ] = (1 (2 ) 2 (1 )) + (1 (2 ) 2 (1 )) + (1 (2 ) 2 (1 )) .
(7.13)
Lie ( Weyl [97])

(7.12) , 1 2
, Lie [1 , 2 ] .
. Lie ,
[1 1 + 2 2 , ] = 1 [1 , ] + 2 [2 , ]
[, 1 1 + 2 2 ] = 1 [, 1 ] + 2 [, 2 ] ,
,
[1 , 2 ] = [2 , 1 ] ,
Jacobi,
[1 , [2 , 3 ]] + [2 , [3 , 1 ]] + [3 , [1 , 2 ]] = 0.
Lie
Lie, [, ] . ,
Lie . ,
Lie
, Lie ,
Lie. Lie Lie.
Lie,
Lie.

.
, .
Lie , , Lie. Lie
141
. ,
( ) (reduction of variables) (
) (
).
,
Lie.
, 1 ,
[1 , 1 ] = 0. , 1 1 =
. ( 1 .)
Lie (7.12) = 1, 2
Lie (7.13). ()
Lie -.
, (, ), 1 = (, )2 [56][
18]. Lie, -, -,
.
7.1. ,
7.1.
. .
Lie
: 2 = (, )1
[1 , 2 ] = 0
1 = , 2 =
: 2 = (, )1
[1 , 2 ] = 0
1 = , 2 =
: 2 = (, )1
[1 , 2 ] = 1
1 = , 2 = +
: 2 = (, )1
[1 , 2 ] = 1
1 = , 2 =
1 2
21
21
II
III
IV
: 7.1: Lie.

{1 , 2 , 3 } ,
. 7.2, ,
,
Morosov [71] Mubarakzyanov [72, 73, 74].
, ,
Lie (
) , , Lie
()
Lie
[1 , 2 ]
[2 , 3 ]
[3 , 1 ]
31
1 2
Weyl (W)
1 + 2
2 ( 3,3 )
(1, 1) ( 3,5 )
3 (0
< < 1)
(2)
1 + 2
(2, ) ( 3,8 )
(3) ( 3,9 )
> 0)
1
1
3 (
142
1
2
2 1
22
2
: 7.2: Lie.
. (
.)
,
. , .

: (2, ) 3 , 3 Heisenberg-Weyl
Lie : ( 1 + 1 ). ,
Lie .
, (2, ) 3 ,

.
(7.12) = 1, . . . , . ,
[ , ] . ,
[ , ] = ,
, = 1, . . . , ,
(7.14)
,
. , (7.14),
- Lie (7.14).
(7.14)
Lie (7.14). , , ,
, . ,
Lie (7.13) ,
143
[ , ] = 0 = 1, . . . , ,
. , ,
(

Lie).
7.3
( Lie) (
), :
; ( )
; 1994 Krause

Kepler . Krause
: .
.
Kepler
r ,
r+
r
= 0,
3
(7.15)
1 , 2 3 r
.
r ( Kepler)
[46]:
(, r)-
,
,
,
(7.15), ,
,
( )
, , ,
,
, , ,
(7.15).
144
Kepler ,
r = (, r, r ) ,
(7.16)

= 3 r,
() .
(. [1, 5, 6] ). ,
2 ,
/ [12]
.
,

.
1: ( )
, , , -.
2:

, , ,
, = (, , , , , , ), [6].
:
Lie.
Lie (-)
.
Lie.
,
. ,
,
.
Lie [61, 5, 6] .
, ,
Born-Infeld [6],
(1 2 ) + 2 (1 + 2 ) = 0.
2
(7.17)
145
(7.17)
1 =
4 = +
2 =
5 = +
3 =
6 =
7 = + +
(7.18)
{(2, 1) 1 } 31 .
, (7.18) -- Born-Infeld;

= (, , , , , , )
(7.19)
.
1 , 2 , 3 7 , (7.19),
= ( , , ) ,
(7.20)

[2]
[2]
[2]
6
= + 2 ( + ) 2
= + + (1 2 ) 3
(2 + ) ( + 2 )
= + + + (1 + 2 ) + (2 + )
+( + 2 ) + 3
(7.20)
+
+
(2 2 + )

+ (1 2 )
( 2 )
(1 + 2 )

(2 2 )
= 2 2
(7.21)
= ( )
(7.22)
= ( + ) 2 .
(7.23)
(7.21)-(7.23) : ,
.
(7.21)-(7.23)
( , ,
) . , .
,
,
= 1
2 =
{
(
)
(
)
1
2 1 + 2 + 1 + 2 (4 + ( 8) )
2
2
(1 + )
(
(
))
}
4 + 2 + 8 2 ,
{
(
)
(
)
1
2
2 2 2
1
+
1
+
2
2 1
[
(
)
(
)]
}
+ ( 4) 1 + 2 2 4 + 2 2 ,
(7.24)
(7.25)
146
= 0 .
, 2 = 0, Monge-Ampère.
(7.24)
, = 4 ( = 1),
{(
]
)[ (
)
(
)
1
2
2
2 1/2
=
+
1
2
1
2 1 + 2
2
2
(1 + )
[(
]}
)
(
)1/2
+2 1 + 2 1 2 + 2
.
(7.26)
(2
)
+ 2 + 2 + 2 + 2
(
)
= 2 + 2 + 2 + 2 2
(
)
= 2 + 2 + 2 2 + 2 .
1 =
2
3
(7.27)
, = 4, (7.24) --
Born-Infeld.
Born-Infeld (7.24)
(7.17). ,
(). Born-Infeld, , Lie
,
, 2.
Rosenhaus [84] Born-Infeld

-- (group of contact symmetries). , --
Monge-Ampère.
(7.27), (7.26),
(, ) = 1 +
( 2 )2 ( 3 )2 + 4 ,
= 1,
( 1 )2 + ( 3 )2 ( 2 )2 = 4 .
(7.28)
(7.28) R3 : 4 > 0
, 4 = 0 , 4 < 0 ,
7.1. (7.26) (7.28) Lorenz
R3 , R3 (
).
Poincare.
147
-5
0
5
10
-5
-5
-5
-5
-5
5
0
-5
-5
-5
: 7.1: (7.26), 4 > 0,

(), 4 = 0, () 4 < 0, ().

.
, , :
, .
,
. ,
/ , , . .
,
SYM [6].
,
, ,
)
2 2 = ( )2 ,
(
)
2 = 2
[(
) ]2
(7.29)
(7.30)
, (7.29) [6].
(7.29)
1 =
2 =
3 =
4 =
5 =
6 =
7 =
8 = ,
(7.31)
{2 2 } {1 31 }. (7.29)
(7.29)
Lie. , :
1 8 , 2 = ,
.
(7.29).
148
= 1 = 0. = 0 (7.29)
Monge-Ampère .
= 1 (7.29) Bateman. ,
(7.29).
Monge-Ampère Bateman
{ , , , , , , , , , }.
(7.32)

. . ,
(7.32), 1 8 , .
7.4 (1 + 1)

,
(1 + 1) ,
= 0.
(7.33)
, (
): ,
. ,
(.
[94]).
(7.33) . ,
, (output) SYM [21, 22,
23]. ()
1 =
4 = 2 +
2 =
5 = 2 1
3 =
6 = 42 + 4
(7.34)
(1
= 1 (, ) ,
+ 2
(7.35)
1 (, ) (7.33),
.
Lie Lie (2, )
3 , , 7.3. (7.35), Lie ((2, ) 3 ) 1 .
149
[., .]LB
25
22
1 3
22
26
25
23 44
5
6
1
3
21
26
21
23 + 44
: 7.3: Lie .
(7.34) ( ) . , ,

. ,
. ,
(, ) = 1. (7.34), 6 ,
,
(, ) = exp{2 /4(1 + 4)} exp{2 /4}/ 1 + 4,

-.
,
. , , , [12].
, (7.33), , .
,
().
, (7.33).
, , 5 = 2 . (
Lagrange)
d / 1 = .
1
d = d,
21
2 = exp{2 /(4)}.
}
{
2
(, ) = () exp
4
150
,
5 , (7.33), ()
. (7.33)

(, ) =
1/2
{
}
2
exp
.
4
(7.36)
(, , )
1 1/2
}
{
2
.
exp
4
(7.34) , ,
,
,
. (7.36) . ,
(7.33) , ,
= 1 + 2 . . ,
scale-invariant 4
(, ) = + Erf
Lie (. 7.3)
. / Bluman Cole [12]
span{1 } span{1 , 2 } span{1 , 2 , 3 }

span{2 , 6 } span{2 , 4 , 6 } span{1 , 2 , 5 },
(7.37)

Lie
,
= (, , , , , , ) .
(7.38)
, (7.37),
(7.38). , (7.38)
, any ,
[2]
any { (, , , , , , )} = 0 (7.38).
(7.39)
{1 , 2 5 }, (7.37),
() Lie . ,
,
= +
2
(),
2 3
2
3
3
= .
(2 2 )2
, = 0 , Bluman
Cole,
151

[12].
, Bluman Cole
. , ,
7 = , ,
(7.33)
. ,
[6]. ,
, ,
, Lie.
,
,

, ,
Lie. , Black-Scholes Lie
Black-Scholes
. ,
.
8.

6, 7.
Black-Scholes. , (, ), , , , . , ,
Brown , . (6.2).
, ,
, , .
, , .
Vasicek , , mean-reverting OrnsteinUhlenbeck [95],
d = ( ) d + d.
(8.1)

. () , , , . ,
, , . ,
(6.2), .
mean-reverting
d = ( ) d +
d.
(8.2)
square root model

Cox-Ingersoll-Ross (CIR) - [19, 20].
, Vasicek CIR, ,
[98]. 8.3 8.4, .
, , 8.2, Longstaff [60].
mean reversion
( , double square root model)
d = (
) d +
d.
(8.3)
153
, [38],
d = ( ) d + d,
(8.4)
,
,
+ 21 2 2 + ( ) = 0
(8.5)
(, ) = 1.
(8.6)
, , Vasicek ( = 0), CIR ( = 1/2 = 0) Longstaff

( = 1/2). , (8.5) , , , .
= 0, 1/2, 3/2 2 [88].
(1+1) .
, [13],
( ). ,
( )
. ( )
. ,
, .
.

-- .
.
,
, ,
Schrodinger
Ermakov-Pinney.
,
[24, 49, 75, 3, 50].
154
8.1 Black-Scholes-Merton
Black-Scholes-Merton [9, 10, 68, 69],
1 2 2 2
+ 2
= 0,
+
2
(8.7)
(, ) = ,
(8.8)
() . Merton [68, 69], ,

Black Scholes [9, 10]
. 6.3
,
, . ,

.
[9]
[10].
Lie [29]
[40, 49, 3, 50], , .
Lie (8.7)
1 =
2 =
3 =
4 = 4 + 2 log +
5 = +
6
1
+
1
+
)
2 + 2 log
(2 log + )
[
]
1
= 42 + 4 log + +
(2 log + )2 + ( 2) ( + 2)
= (, ) ,
(, ) (8.7) (, ) = ( 2 2, 2 + 2).
Lie Lie
(2, ) 3 , Lie, 8.1.
Lie 7.2.
Lie , 7.3, BlackScholes-Merton, 8.1, . , Lie, (2, ) 3 .

: .
[., .]LB
2
41 +
3
2 +
3
5
6
22
0
0
2
+ 3
2
+
3
23 24
45
4
41 +
22 +
155
2 +
+ 3
2
+ 3
+ 3
2
+ 3
6
23 + 24
45
25
46
25
46
: 8.1: Lie Black-Scholes-Merton.
( ) , Lie .

Lie,
1 = 22 +
2
+ 3
4 = 12 4
2
+ 3
(8.9)
= 41 +
1
4 6 .
, , = +
4 .
( ) , = (, , ), = (, , ), = (, , ), Lie. , (8.7)
,
(, , ) =
1
4
(, , ) =
1
2
log
{
(, , ) = exp
2
4( + )
+ ,
+
= 0.
4
[10]. ,
,
( ) .
.
, (8.8). ,

Black-Scholes.
/ .

, , Black-Scholes
, (8.7) (8.8).
156
(8.7),
=1
, = , , = .
Lie1
= 2( ) [log + ] + 2( ) .
(8.10)
= exp[]
1
= ( ) 2 [log + (2 )] .
= exp[] ( )
1
2
[log + (2 )]
(8.11)
, (8.7),

= 2.
)
02
2
2 2 2 2
( 2 )
(
)
0
2
() = (0 ) exp
exp 2 ,
2 2
2
log () log (0 ) =
() (0 ) = (0 ) exp
02
2 2
(
)
2
exp 2 .
2
(
{
( 2 )
) }
0
2
(, ) = exp[] (0 ) + (0 ) exp
exp
d ,
2 2
2 2
0
. = 0
(0 ) = 0 . , =
{
( 2 )
(
) }
0
2
= exp[ ] 0 + (0 ) exp
exp 2 d
2 2
2
0
{
}
( 2 )

( 2)
0
= exp[ ] 0 + (0 ) exp
2
exp d
2 2
0 / 2

(0 ) =
exp[ ] 0
(
]
).

0
02
exp
2 2 erf
2 2
2
[
(8.27). , .
157
, Black-Scholes

(
)
2
exp[ ] 0
(
)
exp 2 d .
(, ) = exp[] 0 +
2
0
erf
2
2
8.2 Longstaff
Longstaff [60] ( )

Cox, Ingersoll Ross [19]. , ,
,
. Cox-Ingersoll-Ross (CIR) 8.4.
: CIR
, Longstaff Vasicek.
Longstaff [60]
1 2 2 ( 1 2
2 2 4 ( 22 ) 2
+ = 0.
(8.12)
(8.12) [88],
1 =
2 =
3
5
]
}

(( 2 ) + ( 2 2))
= 2

(2 22 )
{
(
1 2
4
2 2 + ( + 2 ) 2 2
2 22 2
( 22 )
(
(
)
)
4 + 2 + 2 2 + 8 + 23 2
) }
)
(
2 2 + 4 + 2 3 + 2(4 )4 5
= (, ) ,
(, ) (8.12).
Lie Lie
(2, ) 3 (. 8.2), = 8 2 2 /3 . ,
Lie.
158
[., .]LB
3+
3+
2
2 3
5+
25+
3+
2 3
3
2
2 22 2
43
25+
25
3
5+
5
2
2 2
2 2
43
0
0
0
0
43+
16 2
1
+ 2
5
25
43+
16 2 1
: 8.2: Lie Longstaff.
Lie ,
2
1
1 = 21 3+
4 =
2 = 41 5
5 = 3
3 = 2
6 = 5+ ,
+ ( 12
2
2
1
)2
3
2
(8.13)
. , =
(
)
2 22 + 2 /.
(8.12) ,
(, , ) =
)
+ 2
(, , ) =
2
{ (
}
1
22
2 + 2
(
)
2 + 2 + 2 +
,
(, , ) = exp
4
2 +
4
( 2
)
2 22
+
= 0.
= 0, (8.12)
1 =
2 =
2
3 = 2 +
(4 4) + (2 + )
4 = 4 +
5 = (8 + 62 ) + 8 +
)
(
(
))
(
8 2 2 6 + 32 2 + 43 + 2 2 3 + 2 2
2
3
6 = 8(4 + ) + 162 +
)
(
(
))
(
(16 32) 8 2 3 + 2 2 + 42 2 82 + 2 2 3 + 4 2 + 23
2
= (, ) ,
159
(, )
1 2 2 ( 1 2
2 2 + 2 + + 2
+ = 0.
(8.14)
Lie Lie
(2, ) 3 (. 8.3), = 2(2 + 23 )/2 .
[., .]LB
81 + 2 + 34
2
+ 23
2 2
0
82 + 45
2 2
84
23
81 2 34
42 2
+ 23
4
2 2
0
86
82 45
86
4
5
6
2 2
2 2
23
84
44
0
44
0
0
: 8.3: Lie Longstaff = 0.
1 = 3 +
2 2
2 = 1 +
2 +23
2
42
4 = 14 5
+
4 4
5 = 4
(8.15)
6 = 14 6 ,
3 = 2
, , Lie
2
(8.14) , = 4 .

(, , ) =
2
(, , ) =
{ 4
(
(
)) }
12 12(1 + ) + 63 + 2 3 + 2 2
(, , ) = exp
,
122
(8.14)
2
= 0.
4
8.3 Vasicek
Cox, Ingersoll Ross [19]

, swaps
( )
(.
).
160
Vasicek [95]
[25, 16]. [16, 31, 82].
Vasicek [95],
1 2 2
+ 2
= 0,
( )
2
(8.16)
Lie
1 =
2 =
{
}
3 = +
}
{
22 2 + 2
4 =
+
2
{ 2
}
2
+ 2
22 + 2
5 =
2
+ 2 +
2
{ 2
2
+ 2
6 =
2
2
}
42 ( )2 + 2(2 + (3 + )) 2 + 4
2 2
= (, ) ,
(, ) (8.16).
Lie 8.4
Lie (2, ) 3 , = 8(2 + 3 2 )/3 .
[., .]LB
25
26
44
2 2
22 2
43
25
43
4
5
6
26
44
16
1
16
1
+ 2
0
: 8.4: Lie Vasicek.
.
Lie ,
1 = 3
4 = 1 1 + ( 12
2 = 21 5
5 = 4
3 = 2
6 = 12 6 ,
1
16 )2
(8.17)
161
Lie (8.16). ,
2
= 2 .
, (8.16)
2
= 0
2
1 2
2
(
)
2 + 2
(, , ) =
2
}
{
2( + ) + 2
.
(, , ) = exp
22
(, , ) =
= 0, (8.16)
1 =
2 =
3 = +
(
)
2 + 2 + 2
4 = 2 +
2
(
)
(
)
2 + 3 2 + 22 + 3 2 + 4 2
2 2
5 = (2 + 3 ) + 4 +
2 )
(
(
)
42 + 4 2 + 3 2 + (42 + 4 2 ) + 4 2 (2 1)
2 3
2
6 = (8 + 4 ) + 8
2
= (, ) ,
(, )
1 2 2
+ 2
= 0.
2
(8.18)
, Lie Lie
(2, ) 3 , 8.5.
.
[., .]LB
4
2
2 2
2 2
22 2
3
4
5
6
22 2 23
41
22
2
42 45
3 2
0
0
22 2
23
44
+ 23
5
41 +
22
2 2
6
+
3 2
0
2
2 2
24
0
: 8.5: Lie Vasicek = 0.
+ 23
24
42 + 45
0
44
0
46
46
162
Lie
1 = 3 +
2 2
2 = 1 +
2 2 2
4 = 12 5
+
2
2 4
5 = 4
(8.19)
6 = 12 6
3 = 2
, Lie (8.18)
. = 12 2 .

(, , ) =
2 2
{2 (
)}
3(2 + )
1
2 3
6
.
(, , ) = exp
+
6
2
(, , ) =
8.4 Cox-Ingersoll-Ross
Cox-Ingersoll-Ross (CIR) [19]
1 2 2
+ 2 2 ( )
= 0.
(8.20)
(8.20) :
1 =
2 =
{
3 = 1 +
1
2
( ) ( )
= (, ) ,
(, ) (8.20) =
2 2 + 2 . ,
(2, ) 1 .
, ,
CIR . , SYM
Lie, (2, ) 3 .
2 = 4 2 = 4/3. ,
,
.
(8.20), {(2, ) 1 } 1
Lie. , ,
Schrodinger Ermakov-Pinney
[52].
2 + 2 = 0.
(8.21)
163
(8.21)
1 =
3 = 2 +
2 =
(
)
2
4 = 42 + 4 2 + 1
2
(8.22)
= (, ) , (, )
+ 2 2 2 = 0.
CIR, (8.20), (8.21)
(, , ) = exp {}
{
}
(, , ) = 2 exp 12 ( + log )
{(
)
}
1
1
(, , ) = 2 4 2 exp
+
(
+
)
,
4
2
2
22 = 32 2 /(4 + 3 2 )(4 + 2 ).
2 = 4 (8.20)
1 =
2 =
3,4
5,6
2
= 4
+
{
}
1
+
= 4 + 2
( )
= (, ) ,
2
(, )
2 2 ( )
= 0
(8.23)
2 8.
[., .]LB
2 3
2 3
2 4
4
5
6
5
6
2 4
0
43
4
2
4
2
0
0
44
43
0
44
0
32
1
0
32
1
8
2
8
2
: 8.6: Lie CIR 2 = 4.
8.6 Lie
164
( = 21 / ) ,
1 = 12 4
4 = 2 1 + 12 (2 + 2/)2
2 = 14 6
5 = 3
3 = 2
6 = 5 .
(8.24)
(, , ) =
}
}
{2
2( + )
,
(, , ) = exp
(, , ) = exp
{1
(8.23)
= 0.
2
2 = 4/3, (8.20)
1 =
2 =
3,4
5,6
}
)
(
2 + 3 3
4 +

{
}
) (
)
(
3 3
3
3

= 4 3

2 3
= (, ) ,
(, )
2 2
3 2 ( )
= 0
(8.25)
32 8.
Lie
(2, ) 3 8.7.
Lie :
2 3
1
1 = 21 4
4 =
2 = 14 6
5 = 3
3 = 2
6 = 5 ,
3 3+
2
2
(8.26)
165
[., .]LB
2 3 3
3 4
5
3
3 6
3 3
2 3 4
3 5
3 6
44
4
5
6
4 3 2
0
0
4 3
2
43
43
44
32 3 1
24 3
2
32 3
1
0
+
24 3
2
: 8.7: Lie CIR 2 = 34 .
Lie (8.25) ,
= /(2 3). , (8.25)

(, , ) = exp
3
{
}

(, , ) = exp
2 3
{
}
3(3 + 3) + (9 + 3)
(, , ) = exp
.
12
8.5 Hamilton-Jacobi-Bellman
Hamilton-Jacobi-Bellman
Black-Scholes 2 ,
[75].

1 2 2
+
+
2 2
1
2
)2
( )2
=0
(8.27)
(, ) = 0 Heath et al [35] [. 516]

mean-variance.
Heath et al (8.27)
. , :
1 2 2
+
+
2 2
1
2
)2
+ () = 0
(8.28)
.
(8.28)
Lie (8.28)
2
, , ,
166
, , .
,
. (8.28)
, (), . ,
. , ,
Fokker-Planck [28, 80].
Lie
Lie. (1 + 1) (
). ,
.
(8.28) , (), [75],
1 =
2 =
= 2 2 (, ) ,
(, )
1 2 2
+
+
+ () = 0.
2 2
(8.29)
1 2 (8.28). ,
(8.29) (8.28)
!
2 + Lie .
(, ) = 0 ,
, Lie
. ,
=0
(8.30)
. (
Lie : -
, - ,
.)
= 1 + 2 ,
(8.31)
2 = 0 1 = 0.
(8.32)
(8.30)
167
, (
).
( , solution symmetries),
() = 1 .
(8.28), (8.29), () . ,

(8.28) .
(, )
()
2 2 +
2 +
2
2
2 2
2
2
0+1+
1 1
1+1+
21 1
3+1+
{1 (2, )} 1
3+1+
{1 (2, )} 1
5+1+
{(2, ) } 1
5+1+
{(2, ) } 1 ,
5+1+
{(2, ) } 1
: 8.8: Heath.
() 8.8
. ,
. , .
.
168
1. () = 2
, ,
1 = (, ) exp[/2 ]
2 =
3 =
4 = + 21 ( + ) + 2
(
)
5 = 2 + + 21 2 22 ( )2
(8.33)
6 =
7 = ( ) ,
(, )
2
+ 12 2 2 +
2 = 0.
(8.34)
Lie (8.28) () = 2
(8.35)
=2
, = 2, 7, .
=
3 + 4 + 5 2 = 0
(8.36)
(
)
2 + 4 2 + 12 5 2 22 ( )2 7 ( ) = 0.
(8.37)
(8.37) :
2 :
5 = 0
7 = 0
2 + 4 2 = 0
(8.36)
3 + 4 = 0

2 = 4 2 ,
3 = 4 .
(8.38)

Lie3
1 =
2 = ( ) + 2 ( ) .
3
(8.39)
, ( ) ,
169
(8.28) () = 2
. 1
= (). Lagrange 2
d
2 (
= 2 . (8.28) () = 2
= 2

= 2 ( ).
(8.40)
2. () = 2
1 = (, ) exp[/2 ]
2 =
3 =
4 = 2
(8.41)
(
)
5 = + 12 2 2
(
)
(
)
6 = 2 + + + 32 2 2 + 2 2 3 21 2 3
(
)
(
)
7 = 22 + 2 + 2 3 + 2 + 2 3 32 2 ( )2 14 4 4 ,
(, )
2
+ 12 2 2 +
2 = 0.
(8.42)
(8.35)
(8.30). (8.30)
3 + 2 6 + 2 2 7 = 0
(8.43)
(
)
(
)
2 2 4 + 12 2 2 5 + 2 2 32 12 4 3 6
(
)
+ 2 + 2 3 32 2 2 2 + 2 2 14 4 4 7 = 0.
,
. ,
2 :
:
:
7 = 0
5 = 32 6
(
)
2 = 2 4 + 22 2 4 3 6
(8.44)
170
( 4 6 )
(8.30).

1 = 2 ( )
(
)
2 = 2( ) + + + 32 2 2 32
{
)
}
(
+2 ( ) ( 2 ) 12 2 2 2 2 2 3 .
(8.45)
(8.45)
[1 , 2 ] = 1 , 1 ()
[85] 1
.
(8.45) Lagrange
d
2 (
(8.46)
+ 2 ( ). ,
(, ) = () 2 ( ).
(8.47)
1 2 2
+
+
2 2
1
2
)2
+ 2 = 0
(8.48)
() = + 21 2 ( )2 + 61 4 ( )3 ,
(8.49)

. , 1
(, ) = 12 2 ( )2 + 61 4 ( )3 2 ( ).
(8.50)
2 (8.50) , (8.50)
(8.30).
3. () = 12 2 2
, ,
1 = (, ) exp[/2 ]
2 =
3 =
4 = exp[] [ + ( ) ]
5 = exp[] [ + ( + ) ]
[
(
) ]
6 = exp[2] + + 12 2 + 12 2 2 2
) ]
[
(
7 = exp[2] + 12 2 + 21 2 + 2 2 ,
(8.51)
171
(, )
2
2
+ 21 2 2 +
12 2 2 = 0.
(8.52)
(8.28) () = 21 2 2 ,
() = 2
2 . ,
. (8.35)
(8.30)
1 = cosh ( ) + [(cosh ( ) 1) sinh ( )]

2 = sinh 2( ) + [ exp[( )] + cosh 2( )]
[
+ ( ) exp[( )] 2 21 2
(
)
(
]
)
+ + 21 2 cosh 2( ) 21 2 + 2 2 sinh 2( ) .
Lie 1 2 1 1
,
(, ) = [1 sech( )] +
1
2
)
2 2 2 tanh ( )
+ 21 2 log cosh ( ) 12 2 ( ).
(8.54)
2 (8.54)
.
,
Fokker-Planck [28, 80].
.
() Lie.
4. () = 12 2
1 2 2
+
+
2 2

1
2
)2
1
2
2
=0
2
(8.55)
1 = (, ) exp[/2 ]
2 =
3 =
(8.56)
4 = 2 + + 2
(
)
5 = 22 + 2 + 2 ( )2 ,
(
172
(, )
+ 12 2 2 +
12 2 2 = 0.
(8.57)
(8.30)
3 + 2 4 + 2 2 5 = 0
(
)
2 + ( 2 )4 + 2 2 2 + 2 2 5 = 0
(8.58)
(8.58)
(8.58) , 2 5
.
, (8.27)
.
2
5. () = 21 2 2 + 21 2
1 = (, ) exp[/2 ]
2 =
3 =
(8.59)
4 = exp[2] + + 12 2 + 12 2 2
) ]
[
(
5 = exp[2] + 12 2 + 21 2 + 2 2 ,
[
)
2
(, )
+ 21 2 2 +
1
2
2 2
2
+
2
2 2
= 0.
(8.60)
,
(8.30).
2
6. () = 2 + 12 2
1 = (, ) exp[/2 ]
2 =
3 =
(8.61)
4 = 2 + + 2 2 2
(
)
5 = 22 + 2 + 2 ( )2 .
(
(8.30).
173
2
7. () = 2 + 12 2

(8.28), (),
(8.30).
,

1 2 2
+
+
2 2
(, ) = 0
1
2
)2
+ () = 0
(8.62)
Lie ()
2 , 2 12 2 2 . (8.62) () 2 /2
= 0
.
(8.28) (8.30)
4
(1 + 1) .
, (8.28),
.

.
, (8.28)
, .
, 5 .
(8.28) (8.29)! = (, , )
(, ) . = exp{/2 }. ,
Hopf-Cole Burgers.
(8.29), 4
Lie . [32]. Lie

1 + 1 [54].
5
(solution symmetries),
. , ,
. - , -
.
174
. , (8.28)
(). , (8.29), SYM, : () = 1 + 2 + 3 2
() = 1 + 2 + 3 2 + 4 /(2 + 23 )2 . Lie
.
.
[75] .
() = 1 + 2 + 3 2 , (8.29)
1 =
2 =
(2 + 23 ) cos( 3 ) 2 3 sin( 3 )
3 = 2 sin( 3 ) +
2
3
2 3 cos( 3 ) + (2 + 23 ) sin( 3 )
4 = 2 cos( 3 )
2
3
8 cos(2 3 )
(2 + 23 ) sin(2 3 )

5 = 4
3
3
(
(
)))
1 {(
42 3 + 2 22 + 82 3 + 43 1 + 23 2
cos(2 3 )
+ 3
3
3
(
)
}
4 3 3 2 + (2 + 23 ) sin(2 3 )
(2 + 23 ) cos(2 3 )
8 sin(2 3 )
+
6 = 4
3
3
(
(
)))
1 {( 2
+ 3
4 3 2 22 + 82 3 + 43 1 + 23 2
sin(2 3 )
3
3
(
}
)
4 3 3 2 + (2 + 23 ) cos(2 3 )
= (, ) ,
(, ) (8.29) () = 1 + 2 + 3 2 .
Lie Lie (2, ) 3 , 8.9, = 16 42 3 22 2 + 41 3 2 /(
[., .]LB
3 4
3 3
2 3 6
2 3 5
2
3
4
5
6
3
3 4
0
0
4 3
2
3 3
2 3 6
4
3 2
84
0
0
84
83
83
84
83
83
84
128
3 1
0
128 1
3
2 3 5
+ 2
: 8.9: Lie Heath () = 1 + 2 + 3 2 .
Lie (
33 3 ).
175
1 = 21 4
2 = 413 1 +
3 = 2
4 = 12 2 + 18 6
1
512 2
1
32 5
1
6 = 43 1 + 32
5 = 43
2 12 5 .
, = /(16 3 ) Lie (8.29)
.
(8.29) ,
(, , ) = 2 tan( 3 )
(2 + 23 ) sec( 3 )
(, , ) =
4
)}
{ ( 3
1
22 4( 2) (2 + 23 )2 tan( 3 )
cos( 3 ),
41
+
(, , ) = exp
3
8
3
2
3

= 0.
16 3
() = 1 +2 +3 2 +4 /(2 +23 )2 , {(2, ) 1 }
1 , , ,
Ermakov-Pinney, (8.21) [52].
(8.21)
1
3 tan ( 3 ) ,
2
(, , ) = (2 + 23 )2 sec ( 3 ) ,
{ (
(
) )}
1
22 4( 2) (2 + 23 )2 tan 3
(, , ) = exp
41
+
cos ( 3 )
2
3/2
8
3

(, , ) =
22 = 34 .
, Lie, mean-variance
.
, (), 2 , 2 12 2 2 , Lie -, ,
. - .
, , .

.
176
() ()

. ,
;
(, ) = 2 () .
Lie
1 = (, ) exp[/2 ]
2 =
3 =
4 = 2 ()
(8.63)
5 = + ( )
6 = 2 + ( + ) 22 ()
(
)
7 = 22 + 2 + 2 22 2 () ( )2 ,
(, )
2 ()
+ 12 2 2 +
2 = 0.
(8.64)
, (8.64) (8.34),
(8.33).

4 + 2 6 + 2 7 = 0
(8.65)
2 2 ( )4 + ( )5 2 2 ( )6
+(2 2 2 + 2 2 2 2 2 ( ))7 = 0.
(8.65)
(8.35). (8.65) 2 7
7 = 0. 5 = 0. 4 (8.65) ,
(8.65), 2 = 0. ,

1 =
(8.66)
2 = 2( ) 2 () .
(
(8.66)
(8.66) = () (8.28) () = 2 (),

,
=
=
()2 d
0
2
()
()2 d
(8.67)
177
. .
,
.
9.

Schwartz [15, 30, 18] .
, .

mean-reversion1 Ornstein-Uhlenbeck.
[86] Black-Scholes. mean
reversion
. .
[30] mean-reversion.

mean-reversion Vasicek [95].
. ,
. ,
,
() . (, , )
,
.
, Schwartz. ,
2
. .
1
, ,
,
.
2
,
, . ,
,
.
179
Lie
.
9.1
Hamilton-Jacobi-Bellman
1 2 2
2
+ ( log ) = 0.
(9.1)
(0, ) = .
, , (9.1) , ,

.
[30]
1 2 2
2 1
+ 1 2 + 21 22 + ( ) + (( ) ) = 0,
(9.2)
(0, , ) = .
, . ,

.
12 2 + 22 + 32 + 21 1 2 + 22 2 3 + 23 3 1
+2( ) + 2( ) + 2( ) 2 = 0,
(9.3)
(0, , , ) = .
(9.1) Black-Scholes , , 6+ Lie

1 + 1 [54].
:
]
2
(, ) = exp log exp[ ] + (1 exp[ ]) +
(1 exp[2 ]) ,
4
[
(9.4)
= 12 2 /.
(9.2), (0, , ) =
[43, 8]
]
1 exp[ ]
(, , ) = exp
+ ( ) ,
(9.5)
180
(
)
2
1 exp[2 ]
1 2
1 2
+ 22
( ) =
+2 2
43
)
(
2 1 exp[ ]
+
+ 1 2 2
2

= /.
Schwartz (9.3):
]
1 exp[ ]
1 exp[ ]
(, , , ) = exp
+
+ ( ) ,
(9.6)
( ) = [(
+ 1 2 1 ) (1 exp[ ]) )] /2
[
] (
)
22 (4 (1 exp[ ]) (1 exp[2 ]) 2 ) / 43
[( + 1 3 3 ) (1 exp[ ] )] /2
[
] ( )
32 (4 (1 exp[ ]) (1 exp[2 ]) 2 ) / 43
[
(1 exp[ ]) + (1 exp[ ]) (1 exp[( + ) ])
+1 3 3
( + )
]
2
2
(1 exp[ ]) + (1 exp[ ]) 2 2
+
.
2 2 ( + )
9.2
(9.1), (9.2) (9.3) ,

.
, :
(9.1),
2 2 = 0,
(9.7)
= (
)
1
2
=
log + +
2
(, ) = (, ).
(9.2),
+ + 2( ) 2 2 = 0,
(9.8)
181
= exp[] (, , ) = (, , )
)
(
1
1 2 1 2
=
2
(, , ) = (, , )
=
= 1/2 (
1/2
2
( ) = 2 12 2 + 2 ( )
(, , ) = (, , ).
, (9.3),
+ + 2( + + ) 2( + ) 2 2 = 0,
(9.9)
, ,
2 2( + + ) 2( + ) 2 2 = 0,
.

.
.
, .
Euler . ,

= ,
= 1, , = , ,
(, ) = (, ).
= , = 1, ,
= 2 ,
(, ) = (, ),
/ . ,

= + , = 1, ,
1 = 0.
(, ) = (, ),
182
2 2( + 1 )1 2 2 2 = 0,
(9.10)
= 2, 1 = 2, .
, Lie,
, SYM
[21, 22, 23].
(9.7):
1 = (, )
2 =
3 = exp[]
4 = exp[] [ + 2 ]
(9.11)
5 =
6 = exp[2] [ + ]
[
(
)
]
7 = exp[2] + 1 22 ,
(, ) (9.7). (9.1) Black-Scholes, Lie

[54]. {(2, ) 3 } 1 [49]. , (9.7)
.
(9.8):
1 = (, , )
2 =
3 =
(
)
4 = 2 + 1 + ( + )
(9.12)
5 = exp[] [ + ]
6 = exp[] [ 2 ]
7 = ,
(, , ) (9.8), - .
(9.12).

(9.7). ,
. = 0 = 0
, . :
183
1 = (, , )
2 =
3 =
4 =
5 = exp[]
6 = exp[] [ + 2 ]
7 = .

Lie, 6 + . , (9.8)
(9.7)
.
(9.9):
1 = (, , , )
2 =
3 =
4 = [( )2 + 2 + 2 ] + [ + ( )] [ ]
+[ + ( ) + ]
5 = exp[] {[ + ( )] + + (1 ) }
(9.13)
6 = exp[] {[ + ] + (1 + ) 2(1 + ) }
7 = exp[][ + ]
{
8 = exp[] [(1 2 + 2 ) 2] + (2 2 1) + 22
}
+22 [(2 1) + ( + 1)]
9 = ,
(, , , ) (9.9). , .
9.3 Lie

(9.8) ( - ).
(0, , ) = exp[]. Schwartz
184
= exp[] (9.8)
(9.2).

= 0 (0, , ) = exp[].
(9.14)
( , 1 , )
=2
, = 0 7 = 0.
= exp[]
2 ( )4 + 6 = 3 + 5 + 6 ,
(9.15)
exp[].
(9.15), :
4 = 0
6 = 0
2 = 3 + 5
- .
1 = +
(9.16)
2 = exp[] ( + ) + .
(9.17)
Lie (9.8)
(9.14). (9.8) , .

.
1 2 . , , 1 1 = 0.

+
= 0,
, ,
Lagrange ( ,
)
d
(9.18)
185
(9.18) .
(9.18) , exp[].
,
= (, ) exp[].
,
2 = exp[] + (1 exp[])
Lagrange
d
exp[]
(1 exp[])
= () exp [ (exp[] 1)] ,
(9.19)
.
(9.8)
= 1 + 2 + 2 2 2 exp[] + 2 exp[2]
[
(, , ) = exp + (exp[] 1) + 21 (2 + 1 + 2 )
]
+ 2 exp[] 41 2 exp[2]
(9.20)
(0, , ) = exp[]. , (9.5).

, (9.8), (9.2), .
.
(9.8), (9.9).

=2
=0
(0, , , ) = exp[]
9 = 0 9 . ,
= 0 exp[],
2 + [ + ( )]4 2(1 + )6 + 22 [(2 1) + ( + 1)]8

= 3 + ( + )5 + ( + )6 + 7 + [(1 2 + 2 ) 2]8 .

:
:
:
:
2 = 3 + ( + )5 + ( + )6 + 7 + [(1 2 + 2 ) 2]8
2 4 = 0
4 + 22 (2 1)8 = 0
( )4 2(1 + )6 + 22 ( + 1)8 = 0
186
4 = 6 = 8 = 0.
2 = 3 + ( + )5 + 7 ,
(9.21)

Lie :
1 = +
2 = exp[] [ + ] +
3 = exp[] [( + ) + + (1 ) ] + ( + )
.
. (9.8)
.
= () exp + (exp[] 1)
[
]}
+
(1 exp[]) + ( + )(exp[] 1) ,
1
(9.22)
= 1 2 +
[
2
1
(1 exp[])2 +
2
(1 )2
(1 exp[]) + ( + )(exp[] 1)
]2
(9.23)
, (),
.
( ) (9.22) (9.6).
(9.2) (9.3) (9.8) (9.9)
(9.20) (9.22)
.
Schwartz.
9.4

2 + 1 Lie .
. , , , .
187
. .
, , (9.12) (9.13).
, ,
.
:

.
2 2 = 0
(9.24)
2 2 2 = 0
(9.25)
9.1 .
,
.
(9.24)
(9.25)
Schwartz
10
14
10
19
14
11
25
19
13
6
..
.
32
..
.
25
..
.
15
..
.
1
2
2 (
+ 3 + 10)
1
2
2 (
+ + 8)
2 + 3
: 9.1: (9.24), (9.25) (9.10).
(9.24) 12 (2 + 3 + 10),
(9.25) 21 (2 + + 8) 2 + 3 Schwartz.
(9.7)
[54].

,
, , (9.24) (9.25) .
,
188
. , Lie (9.12) (9.13)
[3 , 4 ] = 2
[5 , 6 ] = 22
[6 , 7 ] = 6
[4 , 7 ] = 2 ( 2 + 1)3
[5 , 7 ] = 5
[3 , 4 ] = 2 2
[5 , 6 ] = 2(2 1)2
[7 , 8 ] = 23 (2 1)2
[4 , 9 ] = [( )2 + 2 + 2 ]3 2 2
[7 , 9 ] = 7
[8 , 9 ] = 8 ,
[5 , 9 ] = 5
[6 , 9 ] = 6
.
. ,
(2, ) :
2 = + (, )
[49] (. 8.5)
Schwartz. ,

(2, ) . ,
, ,
.
. , 3 6 (9.12) 3
8 (9.13),
Noether
[52]3 .

, 9.3.
2 + 3 Lie . Lie

. (
+ 1 .)
,
. ,
3
() Noether 2
.
Schrodinger ,
Noether Lie
.
Black-Scholes. ,
10.
189
= 0
.
, , Schwartz Lie . 2 + 3 Lie,
. (0, , x) = Schwartz
- Lie

.
(9.24), (9.25)
(9.10) .
9.2.
(9.24)
1
2
2 (
(9.25)
1
2
2 (
+ 3 + 10)
+ + 8)
Schwartz
2 + 3
3 (2, )
1
2 (
1) ()
2 + 3 + 2 + 12 ( 1)
1
2 (
1)( 2) ( 1)
2 + 3 + 21 ( 1)( 2)
2 + 3
: 9.2: (9.24), (9.25) (9.26).
9.2, (9.24)
190
= 3
1 = (, , , )
2 =
3 =
4 = 2 + + +
5 = 22 + 2 + 2 + 2 (3 + 2 + 2 + 2 )
6 =
7 =
8 =
9 =
10 =
11 =
12 =
13 =
14 = .
1 Lie
. 2
. 3 , 4 5 ,
(2, ). , 6 11 ,
Langrange. ,
12 14
(3).
, ( + 1)- , (9.24), 2
, ,
Lie
, , (2, ) , , 21 ( 1)
().
(9.25), ,
. (2, )

,
() .
(, , , ) Schwartz,
Lie
( 1).
191
9.3.
(9.24)
(9.25)
Schwartz
}
{(2, ) ()} (2+1) (1 )
}
{1 ( 1)} (2+1) (1 )
{
}
1 (2+1) (1 )
: 9.3: .
, ,
.
Lie. Lie
( )
.
.

.
10.

: , , , , , ..
( )
, , . , - .
Poincare ( )

.

.
, , , (
) ()1 .
.
, , Sophus Lie. Lie,
ad hoc ( )
. ,
, Lie

. , (
) :
( ) .
,
( )
. ,
,
1
- ,
. ()
.
193
Lie, Lie. 7.3

( )
[5, 6].
(
) ,
Lie (Lie, !)
[56, 55]. Bluman Cole
[12].
SYM . ( )
, , . , ,
SYM,

(
). , . [23].
8 9
.
. , 8

: Black-Scholes-Merton.
( , ) 1 + 1 .
[24]. , , ,

. ,
. , 9, . ,

()
[90]. ()
( ) . [44]
() .
()
.
.
194
10.1 Miller Weller
Miller Weller [70]

. Blanchard [11]
.
,
, Krugman target zones2 [47].
[100] Miller
Weller , Ito, -

2
+ ( + ) ( + ) = 0
2
(10.1)
.
= 1 + (, ) 1 .
,
2
+ [( 1 ) + ]
2
+[21 + ( )1 ] (1 + ) = 0.
(10.2)
1 .
.
Miller Weller [70]:
= 0 ( ),
2
+ + [( )1 ] = 0,
2
(10.3)
Ornstein-Uhlenbeck = = 0,
2
+ (1 ) = 0.
2
(10.4)
, (10.2), Lie,
1 =
2,3 = exp
2
{1
2 ( + )
}[
(
2 + 21
]
,
(10.5)
195
2 + 4 2 + 2 . + = 0 ( -
) ,
(
{
}[
4,5 = exp 2 1 + + 21 +
2 2

+ 2 .
) ]
,
(10.6)
(10.4)
1 =
2 = + /
3 = ( /)
(
)
4 = + 1 2 2 2 +
(10.7)
5 = 2 + + (/ 2 + 2)
[
]
6 = 22 + 2 + 1 2 2 (3 2) 3 + 2 + 2 (1 + 2)
7 = (, ) ,
= 1 (, )
2 + 2 2 = 0.
7 (10.4)
6 + Lie [24]
.
10.2 Henderson Hobson
- Hamilton-JacobiBellman [36, 37]
1 2 () 2
()()
2
2 ()
()
1
2
1
+() 2 2 () + 2 () = 0.
2
2
(10.8)
, , , .
Hobson Henderson [36] :
() = , () = , () = () = . (10.8)
2
1 2 2

1 2 2 2
1
+ 2 2 = 0.
2
2

2
2
(10.9)
, () = , () = , () = + () =
+ . mean-reverting
- , .
196
() = , () = , () = +
() =
+ .
, () =
+ () = .
(10.9)
, , 2 /2
. , ,
2
2 2 2 + 2 2 2
+ 2 = 0,
(10.10)
= /, = 2 / = 2 2 /2 . (10.10)
( ) = ( + ),
(10.11)
, (), .
(10.10) Lie,

1 =
2 =
3 =
4 =
5 =
[
]
6 = 1/ exp 12 (2 )/2
[
]
7 = 2 + ( 21 ) + log
[(
)
]
+ 12 log
8 = (, ) ,
(10.12)
(, )
2 + 2 + 2 = 0
(10.13)
Black-Scholes.
, (10.13)

. . ,
(10.13) ;
(10.10)
)
2 + 2 + 2 ( + )2 = 0.
(10.14)
197
(10.13)
(10.14). , (10.14)
+ = 0,

(, , ) = 1/ ().
(10.10)
(, , ) = 1/ (, ) + (, ).
(10.15)
1/ 6 .
Ansatz (10.15).
(10.15) (10.10)
]
)/2
[
]
(, ) = (, )/ exp 21 ( )/ ,
(, ) = () exp
[1
2 (2
(10.16)
(10.17)
() (, )
2 + 2 = 0
.
(10.15)
(10.16) (10.17) (10.10).
(10.10)
Euler . (,
+
= (, /). Euler
/.) , 6
Euler = exp[] (, , ) = (, , ).
Lie (10.10),
(10.11), { = , = , = , = 0 },
1 = ( )
2 = (1/ 01 1/ )
[
]
3 = 2( ) + ( 12 )( ) + log( 1 )
[
]
+ ( 21 )( ) + log(1 ) .
(10.18)
Henderson Hobson [36, 37]
()()
1 2 () 2
2
2 ()
()
1
2
1
+() 2 2 () + 2 () = 0
2
2
(10.19)
198
3 ( ) = ( + ).
() = 1 /(1 )
Merton [67] -
, , , Cobb-Douglas.
[36].
, [36], .
199
[1] Abbink K, Darziv R, Gilula Z, Goren H, Irlenbusch B, Keren A, Rockenbach B, Sadrieh

A, Selten R & Zamir S (2000) The competitive ultimatum game First World Congress of
the Game Theory Society (Games 2000) Basque Country University and Fundacion B.B.V.
(Bilbao, Spain)
[2]
Agiza HN (1998) Explicit stability zones for Cournot game with 3 and 4 competitors
Chaos, Solitons and Fractals 9 1955-1966
[3] Agiza HN & Elsadany AA (2003) Nonlinear dynamics in the Cournot duopoly game with
heterogeneous players Physica A 320 512-524
[4]
Agiza HN & Elsadany AA (2004) Chaotic dynamics in nonlinear duopoly game with
heterogeneous players Applied Mathematics and Computation 149 843-860
[5]
Agliari A & Puu T (2002) A Cournot duopoly with bounded inverse demand function
in Oligopoly Dynamics; Models and Tools (Puu T and Sushko I edd) (Springer-Verlag,
Berlin-Heidelberg)
[6] Ahmed E & Agiza HN (1998) Dynamics of a Cournot game with -competitors Chaos,
Solitons and Fractals 9 1513-1517
[7] Andriopoulos K, Bountis T & Papadopoulos N (2008) Theory of oligopolies: Dynamics
and stability of equilibria Romanian Journal of Applied and Industrial Mathematics 4 (1)
47-59
[8]
Andriopoulos K & Bountis T (2008) Dynamics of a duopoly model with periodic driving Proceedings of the 7th International Conference: Lets face chaos through Nonlinear
Dynamics M Robnik & VG Romanovski eds. (American Institute of Physics Conference
Proceedings 1076) 9-12
[9]
Andriopoulos K (2009) A Relaxed Introduction to Decision Making and Game Theory

(Lecture to the 22nd International Summer School on Nonlinear Science and Complexity;
Centre for Education in Science, Platani-Rio, Greece, July 1524)
[10] Andriopoulos K, Bountis T & Dimas S (2010) Discrete-Time Dynamics of an Oligopoly

Model with Differentiated Goods Nonlinear Economic Dynamics, T Puu & A Panchuk eds.
(Series: Economic Issues, Problems and Perspectives) Nova Science, ISBN: 978-1-61668788-5 (Chapter 18)
201
[11] Andriopoulos K, Bountis T & Dimas S (2010) Transition of a competitive oligopoly from
identical to differentiated goods Bulletin of the Greek Mathematical Society (accepted)
[12] Andriopoulos K (2010) The Box-Checking Experiment (in preparation)
[13] Aumann RJ (1976) Agreeing to Disagree The Annals of Statistics 4 (6) 1236-1239
[14] Axelrod R (1984) The Evolution of Co-operation (Basic Books, New York)
[15] Begg DKH, Fischer S & Dornbusch R (1984) Economics (McGraw Hill, Maidenhead, UK)
[16] Bertrand J (1883) Book review of Theorie
Mathematique
de la Richesse Sociale and of Re
cherches sur les Principes Mathematiques

de la Theorie
des Richesses Journal des Savants
499-508. [33][ 2] JW Friedman.

[17] Bierman HS & Fernandez L (1998) Game Theory with Economic Applications (AddisonWesley, USA)
[18] Binmore K (2005) Economic man or straw man? Behavioral and Brain Sciences 28
817-818
[19] Bischi GI, Mammana C & Gardini L (2000) Multistability and cyclic attractors in duopoly
games Chaos, Solitons and Fractals 11 543-564
[20]
Bischi GI & Kopel M (2001) Equilibrium selection in a nonlinear duopoly game with
adaptive expectations Journal of Economic Behavior and Organization 46 73-100
[21] Boldrin M & Woodford M (1990) Equilibrium models displaying endogenous fluctuations
and chaos Journal of Monetary Economics 25 189-222
[22] Bountis A (2004) (Leader books, )
[23] Bowley AL (1924) The Mathematical Groundwork of Economics (Oxford University Press,
Oxford)
[24] Brouwer LEJ (1912) Uber

Abbildung von Mannigfaltigkeiten Mathematische Annalen 71
97-115
[25]
Canovas
JS, Puu T & Ruz M (2008) The Cournot-Theocharis problem reconsidered
[26] Carpenter J Connolly C & Knowles Myers C (2008) Altruistic behavior in a representative
dictator experiment Experimental Economics 11 282-298
[27] Chamberlin EH (1933) The Theory of Monopolistic Competition (Harvard University Press,
Cambridge)
[28] Cobb CW & Douglas PH (1928) A theory of production American Economic Review 18
139-165
202
[29] Cournot AA (1838) Recherches sur les Principes Mathematiques

de la Theorie
des Riches
ses (Hachette, Paris). [33][ 1] NT Bacon

[30] Dana R & Montrucchio L (1986) Dynamic complexity in duopoly games Journal of Economic Theory 40 40-56
[31] Dana R & Montrucchio L (1987) On rational dynamic strategies in infinite horizon models
where agents discount the future Journal of Economic Behavior and Organization 8 497511
[32] Daskalakis C (2008) The Complexity of Nash Equilibria (Thesis, Graduate Division, University of California, Berkeley)
[33]
Daughety AF (1988) Cournot Oligopoly; Characterization and Applications (Cambridge

University Press, Cambridge) (edited by)
[34] Edgeworth FY (1881) Mathematical Physics (Kegan Paul, London)

[35] Edgeworth FY (1925) The pure theory of monopoly Papers Relating to Political Economy
1 (Macmillan, London) 111-142
[36] Eichberger J (1993) Game Theory For Economists (Academic Press, San Diego)
[37] Friedman J (1983) Oligopoly Theory (Cambridge Univerity Press, New York)
[38] Frisch R (1933) Monopole Polypole La Notion de Force dans lEconomie, Festschrift til
Harald Westergaard Supplement Nationalekonomisk Tidsskrift
[39] Gale G, Bimore KG & Samuelson L (1995) Learning to be imperfect: The ultimatum game
Games and Economic Behavior 8 56-90
[40] Gardner R (2003) Games for Business and Economics (John Wiley and Sons, USA)
[41] Garella PG & Petrakis E (2008) Minimum quality standards and consumers information
Economic Theory 36 283-302
[42] Gibbons R (1992) A Primer in Game Theory (Prentice Hall, England)
[43] Gigerenzer G & Gigerenzer T (2005) Is the ultimatum game a three-body affair? Behavioral and Brain Sciences 28 823-824
[44] Grenadier S (2000) Game Choices: The Intersection of Real Options and Game Theory
(Risk Books, Great Britain) (edited by)
[45] Guth
W, Schmittberger R & Schwarze B (1982) An experimental analysis of ultimatum
bargaining Journal of Economic Behavior and Organization 3 367-388
[46] Hackner J (2000) A note on price and quantity competition in differentiated oligopolies
Journal of Economic Theory 93 233-239
203
[47] Hardy GH (1991) ( , )

[48] Harmer GP & Abbott D (1999) Losing strategies can win by Parrondos paradox Nature
402 864
[49] Harmer GP, Abbott D, Taylor PG & Parrondo JMR (2001) Brownian ratchets and Parrondos games Chaos 11 705-714
[50] Henrich J, Boyd R, Bowles S, Camerer C, Fehr E, Gintis H, McElreath H, Alvard M, Barr
A, Ensminger J, Smith Henrich N, Hill K, Gil-White F, Gurven M, Marlowe FW, Patton JQ
& Tracer D (2005) Economic man in cross-cultural perspective: Behavioral experiments
in 15 small-scale societies Behavioral and Brain Sciences 28 795-815
[51] Hotelling H (1929) Stability in competition Economic Journal 39 41-57
[52] Iyengar R & Kohli R (2004) Why Parrondos paradox is irrelevant for utility theory, stock
buying, and the emergence of life Complexity 9 23-27
[53] Kakutani S (1941) A Generalization of Brouwers Fixed Point Theorem Duke Mathematical
Journal 8 (3) 457-459
[54] Kopel M (1996) Simple and complex adjustment dynamics in Cournot duopoly models
[55] Kopel M (1997) Improving the performance of an economic system: Controlling chaos
Journal of Evolutionary Economics 7 269-289
[56]
Kottaridi C & Siourounis G (2002) Game Theory; A Festschift in Honor of John Nash
(Eurasia Publications, Athens) (edited by, in greek)
[57] Matsumoto A (2006) Controlling the Cournot-Nash chaos Journal of Optimization Theory
and Applications 128 379-392
[58] Matsumoto A & Szidarovszky F (2007) Delayed nonlinear Cournot and Bertrand dynamics with product differentiation Nonlinear Dynamics, Psychology and Life Sciences 11
367-395
[59]
Naimzada AK & Sbragia L (2006) Oligopoly games with nonlinear demand and cost
functions: Two boundedly rational adjustment processes Chaos, Solitons and Fractals 29
707-722
[60] Nash J (1950) Equilibrium points in -person games Proceedings of the National Academy
of Sciences 36 48-49
[61]
Nicolis JS, Bountis T & Togias K (2001) The dynamics of self-referential paradoxical
games Dynamical Systems 16 (4) 319-332
[62] Oosterbeek H, Sloof R & van de Kuilen G (2004) Cultural differences in ultimatum game
experiments: Evidence from a meta-analysis Experimental Economics 7 171-188
204
[63] Palander TF (1939) Konkurrens och marknadsjamvikt vid duopol och oligopol Ekonomisk
Tidskrift 41 124-145
[64] Parrondo JMR, Harmer GP & Abbott D (2000) New paradoxical games based on Brownian
ratchets Physical Review Letters 85 5226-5229
[65] Pascal B (1623-1662) Pensees
(incomplete at death), (1977, Edition Gallimard)
[66] Paulos JA (2003) A Mathematician Plays the Market (Penguin Books, London)
[67] Peleg B & Sudholter P (2007) Introduction to the Theory of Cooperative Games (Springer,
Berlin - Heidelberg)
[68] Puu T (1991) Chaos in duopoly pricing Chaos, Solitons and Fractals 1 573-581
[69] Puu T (1998) The chaotic duopolists revisited Journal of Economic Behavior and Organization 33 385-394
[70]
Puu T (2000) Attractors, Bifurcations and Chaos: Nonlinear Phenomena in Economics

(Springer - Verlag, Berlin - Heidelberg)
[71] Puu T & Norin A (2003) Cournot duopoly when the competitors operate under capacity
constraints Chaos, Solitons and Fractals 18 577-592
[72] Puu T (2005) The layout of a new industry: from oligopoly to competition PU.M.A. 4 1-18
[73] Puu T (2008) On the stability of Cournot equilibrium when the number of competitors
increases Journal of Economic Behavior and Organization 66 445-456
[74] Puu T & Panchuk A (2009) Oligopoly and stability Chaos, Solitons and Fractals 41 (5)
2505-2516
[75] Rand D (1978) Exotic phenomena in games and duopoly models Journal of Economical
Mathematics 5 173-184
[76] Riker WH & Ordeshook PC (1973) An Introduction to Positive Political Theory (PrenticeHall, New Jersey)
[77] Salop SC (1979) Monopolistic competition with outside goods Bell Journal of Economics
10 141-156
[78] Sanfey AG, Rilling JK, Aronson JA, Nystrom LE & Cohen JD (2003) The neural basis of
economic decision-making in the ultimatum game Science 300 1755-1758
[79] Schelling T (1960) The Strategy of Conflict (Oxford University Press, London)
[80] Shapley LS (1953) A value for -person games Contributions to the Theory of Games II
HW Kuhn & AW Tucker eds. (Annals of Mathematical Studies 28, Princeton University
Press, Princeton, New Jersey) 307-312
[81]
205
Shelten R (1965) Spieltheoretische Behandlung eines Oligopolmodells mit Nachfragetragheit Zeitschrift f

ur die gesamte Staatswissenschaft 12 301-324
[82] Singh N & Vives X (1984) Price and quantity competition in a differentiated duopoly Rand
Journal of Economics 15 546-554
[83] Stackelberg H von (1934) Marktform und Gleichgewicht (Julius Springer, Vienna)
[84] Szidarovszky F & Yousefi S (2010) On Market Inertia and Stable Competition Nonlinear
Economic Dynamics, T Puu & A Panchuk eds. (Series: Economic Issues, Problems and
Perspectives) Nova Science, ISBN: 978-1-61668-788-5 (Chapter 15)
[85] Theocharis RD (1959) On the stability of the Cournot solution on the oligopoly problem
Review of Economic Studies 27 133-134
[86] Varoufakis Y (2007) Game Theory (Gutenberg, Athens)
[87]
Walras L (1883) Theorie

mathematique
de la richesse sociale (Academy of Lausanne,
Lausanne)
[1] Andriopoulos K (2002) Symmetries and Complete Symmetry Groups in Differential Equations (Undergraduate dissertation, Department of Mathematics, University of the Aegean,
Karlovassi, Greece)
[2] Andriopoulos K (2005) The Analysis of Mathematical Models using Lie and Painleve Theories (Postgraduate dissertation, Department of Mathematics, University of Athens, Athens, Greece)
[3] Andriopoulos K & Leach PGL (2006) A common theme in applied mathematics: an equation connecting applications in economics, medicine and physics South African Journal
of Science 102 No 1/2 66-72
[4]
Andriopoulos K (2006) Elements of Financial Mathematics (Lecture to the 19th Panhellenic ConferenceSummer School on Nonlinear Science and Complexity; Aristotle
University of Thessaloniki, Thessaloniki, Greece, July 1022)
[5] Andriopoulos K (2007) Complete symmetry groups and Lie remarkability Symmetry and
Perturbation Theory SPT 2007 Gaeta G, Vitolo R & Walcher S edd (World Scientific,
Singapore) 237-238
[6] Andriopoulos K, Dimas S, Leach PGL & Tsoubelis D (2008) On the systematic approach
to the classification of differential equations by group theoretical methods Journal of
Computational and Applied Mathematics 230 224-232
[7] Baird AJ (1993) Option Market Making: Trading and Risk Analysis for the Financial and
Commodity Option Markets (John Wiley & Sons, Canada)
[8] Bjerksund P (1991) Contingent claims evaluation when the convenience yield is stochastic: analytical results (Working paper, Norwegian School of Economics and Business
Administration)
[9] Black Fischer & Scholes Myron (1972) The valuation of option contracts and a test of
market efficiency Journal of Finance 27 399-417
[10] Black Fischer & Scholes Myron (1973) The pricing of options and corporate liabilities
Journal of Political Economy 81 637-659
[11] Blanchard OJ (1981) Output, the stock market and interest rates American Economic
Review 71 (1) 132-143
207
[12] Bluman GW & Cole JD (1974) Similarity Methods for Differential Equations (SpringerVerlag, New York)
[13]
Bluman G & Kumei S (1989) Symmetries and Differential Equations (Springer-Verlag,

New York)
[14] Bountis A (1997) Nonlinear Ordinary Differential Equations (GA Pneumatikos, Athens
in Greek)
[15] Brennan MJ & Schwartz ES (1985) Evaluating natural resource investments Journal of
Business 58 133-155
[16] Chan K, Karolyi A, Longstaff F & Sanders A (1992) Empirical comparison of alternate
models of the short-term interest rate Journal of Finance 47 1209-1227
[17] Conte R (1999) The Painleve Property: One Century Later R Conte ed. (CRM Series in
Mathematical Physics, Springer-Verlag, New York)
[18] Cortazar G & Schwartz ES (1994) The evaluation of commodity contingent claims Journal
of Derivatives 1 27-39
[19] Cox JC, Ingersoll JE & Ross SA (1985) An intertemporal general equilibrium model of
asset prices Econometrica 53 363-384
[20] Cox JC, Ingersoll JE & Ross SA (1985) A theory of the term structure of interest rates
Econometrica 53 385-467
[21] Dimas S & Tsoubelis D (2005) SYM: A new symmetry-finding package for Mathematica
Group Analysis of Differential Equations NH Ibragimov, C Sophocleous & PA Damianou
eds. (University of Cyprus, Nicosia) 64-70
[22] Dimas S & Tsoubelis D (2006) A new Mathematica-based program for solving overdetermined systems of PDEs 8th International Mathematica Symposium (Avignon, France)
[23] Dimas S (2008) Partial Differential Equations, Algebraic Computing and Nonlinear Systems
(Thesis, University of Patras, Patras, Greece)
[24] Dimas S, Andriopoulos K, Tsoubelis D & Leach PGL (2009) Complete specification of some
partial differential equations that arise in Financial Mathematics Journal of Nonlinear
Mathematical Physics 16, s-1 73-92
[25] Dothan UL (1978) On the term structure of interest rates Journal of Financial Economics
6 59-69
[26] Ensminger J (2001) Market integration and fairness: evidence from ultimatum, dictator
and public goods experiments in East Africa (Discussion Paper, California Institute of
Technology)
[27] Fehr E & Gachter S (2002) Altruistic punishment in humans Nature 415 137-140
208
[28] Fokker AD (1914) Die mittlere Energie rotierender elektrischer Dipole im Strahlungsfeld
Annalen der Physik 43 810-820
[29] Gazizov RK & Ibragimov NH (1998) Lie symmetry analysis of differential equations in
finance Nonlinear Dynamics 17 387-407
[30]
Gibson R & Schwartz ES (1990) Stochastic convenience yield and the pricing of oil
contingent claims Journal of Finance 45 959-976
[31] Goard J (2000) New solutions to the bond-pricing equation via Lies classical method
Mathematical and Computer Modelling 32 299-313
F & Gonzalez-L
[32] Gonzalez-Gasc
on
opez
A (1983) Symmetries of differential equations. IV
Journal of Mathematical Physics 24 2006-2021
[33] Grenadier S (2000) Game Choices: The Intersection of Real Options and Game Theory
(Risk Books, Great Britain) (edited by)
[34]
Hauert C, De Monte S, Hofbauer J & Sigmund K (2002) Volunteering as red queen

mechanism for cooperation in public goods games Science 296 1129-1132
[35] Heath D, Platin E & Schweizer M (2001) Numerical comparison of local risk-minimisation
and mean-variance hedging Option Pricing, Interest Rates and Risk Management E Jouini,
J Cvitanic & M Musiela eds. (Cambridge University Press, Cambridge) 509537
[36]
Henderson Vicky & Hobson David G (2002) Real options with constant relative risk
aversion Journal of Economic Dynamics and Control 27 329-355
[37] Henderson V (2002) Valuation of claims on nontraded assets using utility maximization
Mathematical Finance 12 (4) 351-373
[38] Hull JC & White A (1990) Pricing interest rate derivative securities Review of Financial
Studies 3 573-592
[39] Ibragimov NH (1983) Transformation Groups in Mathematical Physics (Nauka, Moscow)
[40]
Ibragimov NH & Wafo Soh C (1997) Solution of the Cauchy problem for the BlackScholes equation using its symmetries Modern Group Analysis, International Conference
at the Sophus Lie Conference Center NH Ibragimov, KR Naqvi & E Straume eds. (MARS
Publishers, Norway)
[41] Ince EL (1927) Ordinary Differential Equations (Longmans, Green & Co, London)
[42] Jagannathan R & Kocherlakota NR (1996) Why should older people invest less in stocks
than younger people? Federal Reserve Bank of Minneapolis Quarterly Review 20 11-23
[43] Jamshidian F & Fein M (1990) Closed-form solutions for oil futures and European options
in the Gibson-Schwartz model: A note (Working paper, Merrill Lynch Capital Markets)
209
[44] Kallinikos N, Sophocleous C, Leach PGL, Andriopoulos K & OHara JD (2010) Applications of Lie symmetries to equations modeling prices of commodities (in preparation)
[45]
Kamke E (1983) Differentialgleichungen L

osungsmethoden und L
ooutsungen (Teubner,
Stuttgart)
[46] Krause J (1994) On the complete symmetry group of the classical Kepler system Journal
of Mathematical Physics 35 5734-5748
[47] Krugman PR (1991) Target zones and exchange rate dynamics Quarterly Journal of Economics 106 669-682
[48] Leach PGL (2001) An Introduction to the Use of Symmetry Methods in Differential Equations
(Lecture notes, Department of Mathematics, University of the Aegean, Karlovassi, 83200,
Greece)
[49] Leach PGL & Andriopoulos K (2005) Newtonian economics, in NH Ibragimov, C Sophocleous & PA Damianou eds. Group Analysis of Differential Equations (University of Cyprus,
Nicosia) 134-142
[50]
Leach PGL & Andriopoulos K (2007) Algebraic solutions of some partial differential
equations arising in Financial Mathematics and related areas Bulletin of the Greek Mathematical Society 54 15-27
[51] Ledyard J (1995) Public goods: A survey of experimental research in The Handbook of
Experimental Economics JH Kagel & AE Roth eds. (Princeton University Press, Princeton)
111-194
[52] Lemmer RL & Leach PGL (1999) A classical viewpoint on quantum chaos Arab Journal
of Mathematical Sciences 5 1-17
[53]
Lie S (1874) Uber

die Integration durch bestimmte Integrale von einer Klasse linear
partieller Differentialgleichungen Mathematische Annalen 8 328-368
[54]
Lie S (1881) Uber

die Integration durch bestimmte Integrale von einer Klasse linear
partieller Differentialgleichung Archiv f
ur Mathematik 6 328-368 (translation into English
by NH Ibragimov CRC Handbook of Lie Group Analysis of Differential Equations 2 473-508)
[55]
Lie S (1883) Classification und Integration von gewohnlichen Differential-gleichungen

zwischen , , die Gruppe von Transformationen gestatten Archiv f
ur Mathematik og
Naturvidenskab Christiania 9 371-393
[56] Lie S (1967) Differentialgleichungen (Chelsea, New York)

[57] Lie S (1970) Theorie der Transformationsgruppen (Chelsea, New York) Voll I, II, III
[58] Lie S (1971) Vorlesungen u
ber Continuerliche Gruppen mit geometrischen und anderen
Anwendungen (Chelsea, New York)
[59] Lie S (1977) Ber
uhrungstransformation (Chelsea, New York)
210
[60] Longstaff Francis A (1989) A nonlinear general equilibrium model of the term structure
of interest rates Journal of Financial Economics 23 195-224
[61] Manno G, Oliveri F & Vitolo R (2007) On differential equations characterized by their Lie
point symmetries Journal of Mathematical Analysis and Applications 332 767-786
[62]
Manno G, Oliveri F & Vitolo R (2007) Differential equations uniquely determined by

algebras of point symmetries Theoretical and Mathematical Physics 151 843-850
[63] Mark Isaac R, Walker JM & Williams AW (1994) Group size and the voluntary provision
of public goods: Experimental evidence utilizing large groups Journal of Public Economics
54 1-36
[64]
Markowitz HM (1959) Portfolio Selection: Efficient Diversification of Investments (John

Wiley & Sons, New York)
[65] Markowitz HM (1990) Foundations of Portfolio Theory: Nobel Lecture Economic Sciences
279-287
[66] Marwell G & Ames RE (1981) Economists free ride, does anyone else? Experiments on
the provision of public goods, IV Journal of Public Economics 15 295-310
[67] Merton RC (1969) Lifetime portfolio selection under uncertainty: the continuous-time
case Review of Economics and Statistics 51 247-257
[68] Merton R (1973) Theory of rational option pricing Bell Journal of Economics and Management Science 4 141-183
[69] Merton RC (1974) On the pricing of corporate debt: the risk structure of interest rates
Journal of Finance 29 449-470
[70] Miller M & Weller P (1995) Stochastic saddlepoint systems: Stabilization policy and the
stock market Journal of Economic Dynamics & Control 19 279-302
[71] Morozov VV (1958) Classification of six-dimensional nilpotent Lie algebras Izvestia Vysshikh Uchebn Zavendeni Matematika 5 161-171
[72] Mubarakzyanov GM (1963) On solvable Lie algebras Izvestia Vysshikh Uchebn Zavendeni
Matematika 32 114-123
[73] Mubarakzyanov GM (1963) Classification of real structures of five-dimensional Lie algebras Izvestia Vysshikh Uchebn Zavendeni Matematika 34 99-106
[74] Mubarakzyanov GM (1963) Classification of solvable six-dimensional Lie algebras with
one nilpotent base element Izvestia Vysshikh Uchebn Zavendeni Matematika 35 104-116
[75] Naicker V, Andriopoulos K & Leach PGL (2005) Symmetry reductions of a Hamilton Jacobi - Bellman equation arising in Financial Mathematics Journal of Nonlinear Mathematical Physics 12 268-283
211
[76] OHara JG (2003) Financial Mathematics 1A (Lecture notes, School of Statistical and
Actuarial Sciences, University of KwaZulu-Natal, Durban, South Africa)
[77] Ovsiannikov LV (1982) Group Analysis of Differential Equations (Academic Press, New
York)
[78] Olver PJ (1993) Applications of Lie Groups to Differential Equations (Graduate Texts in
Mathematics 107, Springer-Verlag, New York)
[79] Paulos JA (2003) A Mathematician Plays the Market (Penguin Books, London)
[80] Planck M (1917) Uber

einer Satz der statistischen Dynamik und seine Erwerterung in
Quanten Theorie Sitzungbereich Koenigliche Preussische Akademie der Wissenschaften
physik-mathematik Klasse 24 324-341
[81] Polyanin AD & Zaitsev VF (2004) Handbook of Nonlinear Partial Differential Equations
(Chapman & Hall/CRC, Boca Raton, Florida, USA)
[82] Pooe CA, Mahomed FM & Wafo Soh C (2004) Fundamental solutions for zero-coupon
bond pricing models Nonlinear Dynamics 36 69-76
[83] Ramani A, Grammaticos B & Bountis T (1989) The Painleve property and singularity
analysis of integrable and nonintegrable systems Physics Reports 180 159-245
[84] Rosenhaus V (1986) The unique determination of the equation by its invariance group
and field-space symmetry Algebras, Groups and Geometries 3 148-166
[85] Sattinger DH & Weaver OL (1986) Lie Groups and Algebras with Applications to Physics,
Geometry and Mechanics (Springer-Verlag, Berlin-Heidelberg)
[86] Schwartz Eduardo S (1997) The stochastic behaviour of commodity prices: implications
for valuation and hedging The Journal of Finance 52 923-973
[87] Sharpe WF (1964) Capital asset prices: A theory of market equilibrium under conditions
of risk Journal of Finance 19 (3) 425-442
[88] Sinkala W, Leach PGL & OHara JG (2008) Invariance properties of a general bond-pricing
equation Journal of Differential Equations 244 2820-2835
[89] Stephani H (1989) Differential Equations: Their Solution Using Symmetries (Cambridge
University Press, Cambridge)
[90] Sophocleous C, Leach PGL & Andriopoulos K (2008) Algebraic properties of evolution
partial differential equations modelling prices of commodities Mathematical Methods in
the Applied Sciences 31 679-694
[91] Szabo G & Hauert C (2002) Phase transitions and volunteering in spatial public goods
games Physical Review Letters 89 118101
[92] Tabor M (1989) Chaos and Integrability in Nonlinear Dynamics (John Wiley, New York)
212
[93] Thorpe EO & Kassouf S (1967) Beat the Market (Random House, New York)
[94] Tsoubelis D (2003) Partial Differential Equations (Two volumes, Publications of the University of Patras, in greek)
[95] Vasicek O (1977) An equilibrium characterization of the term structure Journal of Financial Economics 5 177-188
[96]
Weiss J, Tabor M & Carnevale G (1983) The Painleve property for partial differential
equations Journal of Mathematical Physics 24 522-526
[97] Weyl H (1923) Die Idee der Riemannschen Fl

ache (Teubner, Berlin)
[98] Wilmott P (2007) Paul Wilmott introduces Quantitative Finance (John Wiley & Sons, England)
[99] Xenitidis P (2008) Symmetries and Integrability of Differential and Difference Equations
(Thesis, University of Patras, Patras, Greece)
[100] Yannacopoulos AN (2008) Rational expectations models: An approach using forwardbackward stochastic differential equations Journal of Mathematical Economics 44 251276

Μαθηματικές Μέθοδοι στα Μικροοικονομικα και Χρηματοοικονομικα.

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Μαθηματικές Μέθοδοι στα Μικροοικονομικα και Χρηματοοικονομικα.

Uploaded by

Copyright:

Available Formats

i

2.1.5 Dating Hypothesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2.1.6 Box-Checking Experiment . . . . . . . . . . . . . . . . . . . . . . . . .

2.3.3 von Stackelberg . . . . . . . . . . . .

10.1 Miller Weller . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10.2 Henderson Hobson . . . . . . . . . . . . . . . . . . . . . . . .

2.4 Dating Hypothesis: 3 1 . . . . . . . . . . . . . .

2.5 Dating Hypothesis: 3 2 . . . . . . . . . . . . . .

2.6 Dating Hypothesis: 1. . . . . . . . . . . .

2.7 Dating Hypothesis: 2. . . . . . . . . . . .

2.8 Dating Hypothesis: 3. . . . . . . . . . . .

2.9 Box-Checking Experiment:

2.10 Box-Checking Experiment: . . . . . . . . .

2.11 Box-Checking Experiment: .

2.12 Box-Checking Experiment: Nash . . . . . . . . . . . . . . . . . . . . . . . .

8.1 Lie Black-Scholes-Merton. . . . . . . . . . . . . . . .

8.2 Lie Longstaff. . . . . . . . . . . . . . . . . . . . . . .

8.3 Lie Longstaff = 0. . . . . . . . . . . . . . . . . . .

8.4 Lie Vasicek. . . . . . . . . . . . . . . . . . . . . . . .

8.5 Lie Vasicek = 0. . . . . . . . . . . . . . . . . . . .

8.6 Lie CIR 2 = 4. . . . . . . . . . . . . . . . . . . .

8.7 Lie CIR 2 = 43 .

8.9 Lie Heath () = 1 + 2 + 3 2 . . . . . . . . .

9.1 (9.24), (9.25) (9.10). . . . . . . . . . . .

9.2 (9.24), (9.25) (9.26). . . . . . .

1 = 2 = 0.5, 1 = 1, 2 = 1.1 () 1 = 0.7, 2 = 0.2, 1 = 1, 2 = 1.1

3.4 MS, (3.13), 1 = 2 = 0.5 ()

1 = 0.7, 2 = 0.2 (). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3.5 , (3.19), 1 = 2 = 0.5 ()

1 = 0.7, 2 = 0.2 (). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3.7 () (3.30), (3.31) (1 , 2 )

4.1 : 1 = 0.6 2 = 0.9 ( = = 1).

4.2 : 1 = 0.6 2 = 0.7 ( = = 1).

4.3 : 1 = 0.6 2 = 0.2 ( = = 1).

4.4 : 1 = 0.5, 2 = 0.6 3 = 0.75 ( = = 1).

4.5 : 1 = 0.5, 2 = 0.6 3 = 0.65 ( = = 1).

4.6 : 1 = 0.5, 2 = 0.6 3 = 0.25 ( = = 1).

4.7 : (1 , 2 , 3 , 4 , 5 ) = (0.5, 0.55, 0.6, 0.52, 0.35).

4.8 = 100 = 10. . . . . . . . . . . .

4.22 2 = 0.7. 101

7.1 (7.26), 4 > 0,

1: Box-Checking Experiment: Nash

1: , (0.4) (0.3), 1 = 0.7,

Cox, Ingersoll Ross,

2: (0.16), (0.17) (0.15).

3: Lie , (0.16), (0.17) (0.15).

Cournot, Bertrand Stackelberg. Cournot

1 Andriopoulos K, Bountis T & Papadopoulos N (2008) Theory of Oligopolies: Dynamics

Andriopoulos K, Bountis T & Dimas S (2010) Discrete-Time Dynamics of an Oligopoly

4 Andriopoulos K, Bountis T & Dimas S (2010) Transition of a competitive oligopoly from

21 Andriopoulos K (with N Kallinikos, PGL Leach, JD OHara & C Sophocleous) Applications

, , Aumann [13], (common knowledge):

2.1.5 Dating Hypothesis

: 2.4: Dating Hypothesis: 3 1 .

: 2.5: Dating Hypothesis: 3 2 .

((3), (3), (3)), .

1 (1 , ) = 2.4 , {2, 3, 4}, ,

1 (1 , ) = 1.2 , , = 1 {2, 3, 4}, ,

: 2.6: Dating Hypothesis: 1.

: 2.7: Dating Hypothesis: 2.

Dating Hypothesis Nash, (2 , 1 , 4 ) (1 , 3 , 4 ), (1 , 2 , 3 ) =

(2, 2.1, 2) (1 , 2 , 3 ) = (2.4, 2, 2). 3 4 ( ) 1 2.

: 2.8: Dating Hypothesis: 3.

2.1.6 Box-Checking Experiment