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In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes $\{S^{(n)}\}_{n=0}^{\infty}$ to a limit process $S$ we prove convergence Dynkin's…
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
Constrained machine learning enables fairness-aware training, physics-informed neural networks, and integration of symbolic domain knowledge into statistical models. Despite its practical importance, no general method exists for the…
We consider an N-player hierarchical game in which the i-th player's objective comprises of an expectation-valued term, parametrized by rival decisions, and a hierarchical term. Such a framework allows for capturing a broad range of…
In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming…
We address the numerical approximation of Mean Field Games with local couplings. For power-like Hamiltonians, we consider both unconstrained and constrained stationary systems with density constraints in order to model hard congestion…
This paper studies two-player zero-sum stochastic Bayesian games where each player has its own dynamic state that is unknown to the other player. Using typical techniques, we provide the recursive formulas and sufficient statistics in both…
We study two-player zero-sum concurrent stochastic games with finite state and action space played for an infinite number of steps. In every step, the two players simultaneously and independently choose an action. Given the current state…
The properties of value functions of time inhomogeneous optimal stopping problem and zero-sum game (Dynkin game) are studied through time dependent Dirichlet form. Under the absolute continuity condition on the transition function of the…
We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse…
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…
Provable stable arbitrary order symmetric interior penalty discontinuous Galerkin (SIP) discretisations of variable viscosity, incompressible Stokes flow utilising $Q^2_k$--$Q_{k-1}$ elements and hierarchical Legendre basis polynomials are…
We solve a sequential decision-making problem under uncertainty that takes into account the failure probability of a task. This problem cannot be handled by the stochastic shortest path problem, which is the standard model for sequential…
In this paper, we present a unified analysis of the superconvergence property for a large class of mixed discontinuous Galerkin methods. This analysis applies to both the Poisson equation and linear elasticity problems with symmetric stress…
In this paper we propose a new type of viscosity solutions for fully nonlinear path dependent PDEs. By restricting to certain pseudo Markovian structure, we remove the uniform non- degeneracy condition imposed in our earlier works [9, 10].…
This paper is concerned with second-order optimality conditions for Tikhonov regularized optimal control problems governed by the obstacle problem. Using a simple observation that allows to characterize the structure of optimal controls on…
In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…
In this work, we develop analysis and algorithms for a class of (stochastic) bilevel optimization problems whose lower-level (LL) problem is strongly convex and linearly constrained. Most existing approaches for solving such problems rely…
In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…