Related papers: A Generalized Mixed Zero-sum Stochastic Differenti…
We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle $L$ and the upper obstacle $U$ of the equation are completely separated, we…
We study two person nonzero-sum stochastic differential games with risk-sensitive discounted and ergodic cost criteria. Under certain conditions we establish a Nash equilibrium in Markov strategies for the discounted cost criterion and a…
In this paper, we investigate the existence and characterization of the value for a two-player zero-sum differential game with symmetric incomplete information on a continuum of initial positions and with signal revelation. Before the game…
We formulate a notion of doubly reflected BSDEs with a default time and two completely separated RCLL barriers. We demonstrate the existence and uniqueness of the solution. Within the defaultable setup, we introduce a type of generalized…
Motivated by a vaccination coverage problem, we consider here a zero-sum differential game governed by a differential system consisting of a hyperbolic partial differential equation (PDE) and an ordinary differential equation (ODE). Two…
In this paper we consider two-person zero-sum risk-sensitive stochastic dynamic games with Borel state and action spaces and bounded reward. The term risk-sensitive refers to the fact that instead of the usual risk neutral optimization…
We investigate a class of zero-sum linear-quadratic stochastic differential games on a finite time horizon governed by multiscale state equations. The multiscale nature of the problem can be leveraged to reformulate the associated…
Bayesian regression games are a special class of two-player general-sum Bayesian games in which the learner is partially informed about the adversary's objective through a Bayesian prior. This formulation captures the uncertainty in regard…
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process…
In this paper, we analyze the mean field backward stochastic differential equations (MFBSDEs) with double mean reflections, whose generator and constraints both depend on the distribution of the solution. When the generator is Lipschitz…
We develop here the Stochastic Perron Method in the framework of two-player zero-sum differential games. We consider the formulation of the game where both players play, symmetrically, feed-back strategies (as in [CR09] or [PZ12]) as…
In this paper, we examine a class of $\alpha$-potential stochastic differential games with random coefficients via the backward stochastic differential equations (BSDEs) approach. Specifically, we show that the first and second order linear…
This investigation is dedicated to a two-player zero-sum stochastic differential game (SDG), where a cost function is characterized by a backward stochastic differential equation (BSDE) with a continuous and monotonic generator regarding…
This paper is concerned with a new type of differential game problems of forwardbackward stochastic systems. There are three distinguishing features: Firstly, our game systems are forward-backward doubly stochastic differential equations,…
This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a necessary maximum principle and sufficient…
We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies…
In this paper we study a two person zero sum stochastic differential game in weak formulation. Unlike standard literature which uses strategy type of controls, the weak formulation allows us to consider the game with control against…
In this paper, we study systems of nonlinear second-order variational inequalities with interconnected bilateral obstacles with non-local terms. They are of min-max and max-min types and related to a multiple modes zero-sum switching game…
In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for…
This paper studies a two-player nonzero-sum stochastic differential game governed by a controlled convection-diffusion stochastic partial differential equation (SPDE) with spatially heterogeneous coefficients. The diffusion and transport…