Related papers: Dynkin Games and Israeli Options
The optimal value computation for turned-based stochastic games with reachability objectives, also known as simple stochastic games, is one of the few problems in $NP \cap coNP$ which are not known to be in $P$. However, there are some…
We introduce a zero-sum game problem of mean-field type as an extension of the classical zero-sum Dynkin game problem to the case where the payoff processes might depend on the value of the game and its probability law. We establish…
Stochastic games combine controllable and adversarial non-determinism with stochastic behavior and are a common tool in control, verification and synthesis of reactive systems facing uncertainty. Multi-objective stochastic games are natural…
This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimensions, nonlinear partial differential equation methods for…
We study the infinite horizon discrete time N-player nonzero-sum Dynkin game ($N \geq 2$) with stopping times as strategies (or pure strategies). We prove existence of an $\varepsilon$-Nash equilibrium point for the game by presenting a…
Stochastic games combine controllable and adversarial non-determinism with stochastic behavior and are a common tool in control, verification and synthesis of reactive systems facing uncertainty. Multi-objective stochastic games are natural…
This paper analyses a stochastic differential game of control and stopping in which one of the players modifies a diffusion process using impulse controls, an adversary then chooses a stopping time to end the game. The paper firstly…
This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…
We study the classic divide-and-choose method for equitably allocating divisible goods between two players who are rational, self-interested Bayesian agents. The players have additive values for the goods. The prior distributions on those…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
A finite impartial game is a two-player game in which the players take turns making moves and the game ends after finitely many moves. In this paper, we study a class of finite impartial games introduced by H.~Lenstra, which we call coin…
Scoring play games were first studied by Fraser Stewart for his PhD thesis. He showed that under the disjunctive sum, scoring play games are partially ordered, but do not have the same "nice" structure of normal play games. In this paper I…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
We revisit the Dynkin game problem in a general framework, improve classical results and relax some assumptions. The criterion is expressed in terms of families of random variables indexed by stopping times. We construct two nonnegative…
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…
A new concept of an equilibrium in games is introduced that solves an open question posed by A. Neyman.
Entropy games and matrix multiplication games have been recently introduced by Asarin et al. They model the situation in which one player (Despot) wishes to minimize the growth rate of a matrix product, whereas the other player (Tribune)…
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…
We study a general formulation of the classical two-player Dynkin game in a discrete time Markovian setting. We identify an appropriate class of mixed strategies -- \textit{Markovian randomized stopping times} -- in which players stop at…
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function…