Related papers: Dynkin game under ambiguity in continuous time

This paper considers a formulation of a differential game with constrained dynamics, where one player selects the dynamics and the other selects the applicable cost. When the game is considered on a finite time horizon, its value satisfies…

For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. However, for backward stochastic Volterra integral equations…

Simple stochastic exchange games are based on random allocation of finite resources. These games are Markov chains that can be studied either analytically or by Monte Carlo simulations. In particular, the equilibrium distribution can be…

This paper investigate a class of multi-dimensional backward stochastic differential equations (BSDEs) with singualr generators exhibiting diagonally quadratic growth and unbounded terminal conditions, thereby extending results in the…

We study a general class of fully coupled backward-forward stochastic differential equations of mean-field type (MF-BFSDE). We derive existence and uniqueness results for such a system under weak monotonicity assumptions and without the…

We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…

We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y$ by convention, but in terms of its conditional expectation…

We prove the existence and uniqueness of the solution of a BSDE with time-delayed generators in the small delay setting (or equivalently small Lipschitz constant), which employs the Stieltjes integral with respect to an increasing…

This paper considers a class of reinforcement-based learning (namely, perturbed learning automata) and provides a stochastic-stability analysis in repeatedly-played, positive-utility, finite strategic-form games. Prior work in this class of…

In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…

Since the celebrated paper by El Karoui, Peng and Quenez [Mathematical Finance, 7 (1997), 1--71], backward stochastic differential equations have found wide applications in stochastic control, financial technology and machine learning. In…

We study backward stochastic difference equations (BS{\Delta}E) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates the lattice. Regarding the driving process as a d…

Mean Field Games with state constraints are differential games with infinitely many agents, each agent facing a constraint on his state. The aim of this paper is to provide a meaning of the PDE system associated with these games, the…

A relationship between two sided discounted singular control problems and Dynkin games is established for real valued L\'evy processes. In addition, the solution of a two-sided ergodic singular control problem is obtained as the limit of…

A complex notion of backward stochastic differential equation (BSDE) is proposed in this paper to give a probabilistic interpretation for linear first order complex partial differential equation (PDE). By the uniqueness and existence of…

Mean-field backward doubly stochastic differential equations (MF-BDSDEs, for short) are introduced and studied. The existence and uniqueness of solutions for MF-BDSDEs is established. One probabilistic interpretation for the solutions to a…

This paper considers a forward BSDE driven by a random measure, when the underlying forward process X is special semimartingale, or even more generally, a special weak Dirichlet process. Given a solution (Y, Z, U), generally Y appears to be…

In this paper{\}we prove the existence of a solution for reflected backward doubly stochastic differential equations with poisson jumps (RBDSDEPs) with one continuous barrier where the generator is continuous and also we study the RBDSDEPs…

In this paper, we study a kind of constrained backward stochastic differential equations (BSDEs) such that the nonlinear expectation of the composition of a loss function and the solution remains above zero. The existence and uniqueness…

We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the terminal condition and the generator to depend on a vector…