Related papers: On Dynkin games with incomplete information

We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such…

Secure equilibrium is a refinement of Nash equilibrium, which provides some security to the players against deviations when a player changes his strategy to another best response strategy. The concept of secure equilibrium is specifically…

We consider extensive games with perfect information with well-founded game trees and study the problems of existence and of characterization of the sets of subgame perfect equilibria in these games. We also provide such characterizations…

We study a model of games that combines concurrency, imperfect information and stochastic aspects. Those are finite states games in which, at each round, the two players choose, simultaneously and independently, an action. Then a successor…

In this paper we use viscosity approach to provide an explicit solution to the problem of a two - player switching game. We characterize the switching regions which reduce the switching problem into one of finding a finite number of…

In this article, we focus on search algorithms for two-player perfect information games, whose objective is to determine the best possible strategy, and ideally a winning strategy. Unfortunately, some search algorithms for games in the…

We study a Stackelberg variant of the classical discrete-time Dynkin game, in which Player 1 (the leader) commits to a stopping strategy first and Player 2 (the follower) responds optimally. This leader-follower structure induces an optimal…

In many common interactive scenarios, participants lack information about other participants, and specifically about the preferences of other participants. In this work, we model an extreme case of incomplete information, which we term…

We consider a game-theoretic setting to model the interplay between attacker and defender in the context of information flow, and to reason about their optimal strategies. In contrast with standard game theory, in our games the utility of a…

We obtain a verification theorem for solving a Dynkin game driven by a L\'evy process. The result requires finding two averaging functions that, composed respectively with the supremum and the infimum of the process, summed, and taked the…

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…

We study two-player zero-sum repeated games with incomplete information on one side, where the payoff function is tail measurable (and not necessarily the long-run average payoff). We show that the maxmin value equals the concavification of…

The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…

We study a robust Dynkin game over a set of mutually singular probabilities. We first prove that for the conservative player of the game, her lower and upper value processes coincide (i.e. She has a value process $V $ in the game). Such a…

We consider repeated zero-sum games with incomplete information on the side of Player 2 with the total payoff given by the non-normalized sum of stage gains. In the classical examples the value $V_N$ of such an $N$-stage game is of the…

We consider imperfect information stochastic games where we require the players to use pure (i.e. non randomised) strategies. We consider reachability, safety, B\"uchi and co-B\"uchi objectives, and investigate the existence of…

The aim of this paper is twofold. First, we extend the results of [33] concerning the existence and uniqueness of second-order reflected 2BSDEs to the case of two obstacles. Under some regularity assumptions on one of the barriers, similar…

This paper examines strategic trading under incomplete information, where firms lack full knowledge of key aspects of their competitors' trading strategies such as target sizes and market impact models. We extend previous work on…

We formulate a notion of doubly reflected BSDE in the case where the barriers $\xi$ and $\zeta$ do not satisfy any regularity assumption and with a general filtration. Under a technical assumption (a Mokobodzki-type condition), we show…

We consider two-player non-zero-sum stopping games in discrete time. Unlike Dynkin games, in our games the payoff of each player is revealed after both players stop. Moreover, each player can adjust her own stopping strategy according to…