Related papers: Stochastic target games with controlled loss

In this paper we make a survey on the so called randomization method, a recent methodology to study stochastic optimization problems. It allows to represent the value function of an optimal control problem by a suitable backward stochastic…

Stochastic games are a well established model for multi-agent sequential decision making under uncertainty. In practical applications, though, agents often have only partial observability of their environment. Furthermore, agents…

We study linear quadratic dynamic games where players are uncertain about each other's control policies or goals and consequently seek to be strategically robust. Building on recent work on strategically robust and risk-averse game theory,…

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…

We study the complexity of solving two-player infinite duration games played on a fixed finite graph, where the control of a node is not predetermined but rather assigned randomly. In classic random-turn games, control of each node is…

Stochastic dynamic teams and games are rich models for decentralized systems and challenging testing grounds for multi-agent learning. Previous work that guaranteed team optimality assumed stateless dynamics, or an explicit coordination…

Commuters looking for the shortest path to their destinations, the security of networked computers, hedge funds trading on the same stocks, governments and populations acting to mitigate an epidemic, or employers and employees agreeing on a…

We develop an approach for two player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes. We provide the relations between a usual stochastic optimal…

Pursuit-evasion scenarios appear widely in robotics, security domains, and many other real-world situations. We focus on two-player pursuit-evasion games with concurrent moves, infinite horizon, and discounted rewards. We assume that the…

We introduce games with probabilistic uncertainty, a natural model for controller synthesis in which the controller observes the state of the system through imprecise sensors that provide correct information about the current state with a…

We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…

Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…

Coordination games have been of interest to game theorists, economists, and ecologists for many years to study such problems as the emergence of local conventions and the evolution of cooperative behavior. Approaches for understanding the…

This paper studies a class of approach-evasion differential games, in which one player aims to steer the state of a dynamic system to the given target set in minimum time, while avoiding some set of disallowed states, and the other player…

We consider an n-player symmetric stochastic game with weak interaction between the players. Time is continuous and the horizon and the number of states are finite. We show that the value function of each of the players can be approximated…

This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…

Security games model the confrontation between a defender protecting a set of targets and an attacker who tries to capture them. A variant of these games assumes security interdependence between targets, facilitating contagion of an attack.…

We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…

We consider a symmetric $n$-player nonzero-sum stochastic differential game with controlled jumps and mean-field type interaction among the players. Each player minimizes some expected cost by affecting the drift as well as the jump part of…

In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…