Related papers: Stochastic Perron's method and verification withou…
We construct a saddle point in a class of zero-sum games between a stopper and a singular-controller. The underlying dynamics is a one-dimensional, time-homogeneous, singularly controlled diffusion taking values either on $\mathbb{R}$ or on…
Mixed optimal stopping and stochastic control problems define variational inequalities with non-linear Hamilton-Jacobi-Bellman (HJB) operators, whose numerical solution is notoriously difficult and lack of reliable benchmarks. We first use…
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest gets information…
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
We consider turn-based stochastic two-player games with a combination of a parity condition that must hold surely, that is in all possible outcomes, and of a parity condition that must hold almost-surely, that is with probability 1. The…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
On a filtered probability space $(\Omega,\mathcal{F},P,\mathbb{F}=(\mathcal{F}_t)_{t=0,\dotso,T})$, we consider stopper-stopper games $\overline V:=\inf_{\Rho\in\bT^{ii}}\sup_{\tau\in\T}\E[U(\Rho(\tau),\tau)]$ and $\underline…
We introduce a notion of viscosity solutions for the two-phase Stefan problem, which incorporates possible existence of a mushy region generated by the initial data. We show that a comparison principle holds between viscosity solutions, and…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…
We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we…
We prove existence, uniqueness, and regularity of viscosity solutions to the stationary and evolution obstacle problems defined by a class of nonlocal operators that are not stable-like and may have supercritical drift. We give sufficient…
Two of the most prominent algorithms for solving unconstrained smooth games are the classical stochastic gradient descent-ascent (SGDA) and the recently introduced stochastic consensus optimization (SCO) [Mescheder et al., 2017]. SGDA is…
In this article we approach a class of stochastic reachability problems with state constraints from an optimal control perspective. Preceding approaches to solving these reachability problems are either confined to the deterministic setting…
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…
We consider stochastic differential games with a large number of players, with the aim of quantifying the gap between closed-loop, open-loop and distributed equilibria. We show that, under two different semi-monotonicity conditions, the…
We consider concurrent stochastic games played on graphs with reachability and safety objectives. These games can be solved by value iteration as well as strategy iteration, each of them yielding a sequence of under-approximations of the…
Uncertain dynamic obstacles, such as pedestrians or vehicles, pose a major challenge for optimal robot navigation with safety guarantees. Previous work on motion planning has followed two main strategies to provide a safe bound on an…
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…
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…
We consider viscosity solution to one-phase free boundary problems for general fully nonlinear operators and free boundary condition depending on the normal vector. We show existence of viscosity solutions via the Perron's method and we…