Related papers: Two Person Zero-sum Game in Weak Formulation and P…

We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…

We introduce a novel extension to robust control theory that explicitly addresses uncertainty in the value function's gradient, a form of uncertainty endemic to applications like reinforcement learning where value functions are…

This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…

We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the state process. As a result, the classical Bellman optimality…

This investigation is dedicated to a two-player zero-sum stochastic differential game (SDG), where a cost function is characterized by a backward stochastic differential equation (BSDE) with a continuous and monotonic generator regarding…

This paper presents Hamilton-Jacobi (HJ) formulations for two classes of two-player zero-sum games: one with a maximum cost value over time, and one with a minimum cost value over time. In the zero-sum game setting, player A minimizes the…

In this paper we study the nonzero-sum Dynkin game in continuous time which is a two player non-cooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we…

The paper studies the open-loop saddle point and the open-loop lower and upper values, as well as their relationship for two-person zero-sum stochastic linear-quadratic (LQ, for short) differential games with deterministic coefficients. It…

This paper studies a stochastic game theoretic approach to security and intrusion detection in communication and computer networks. Specifically, an Attacker and a Defender take part in a two-player game over a network of nodes whose…

We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…

We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a double penalization approach under regularity assumptions on…

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 establish an existence of equilibrium result for a class of non-Markovian mean-field games with unbounded control space in weak formulation. Our result is based on new existence and stability results for quadratic-growth generalized…

We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs…

Two-player mean-payoff Stackelberg games are nonzero-sum infinite duration games played on a bi-weighted graph by Leader (Player 0) and Follower (Player 1). Such games are played sequentially: first, Leader announces her strategy, second,…

We investigate zero-sum turn-based two-player stochastic games in which the objective of one player is to maximize the amount of rewards obtained during a play, while the other aims at minimizing it. We focus on games in which the minimizer…

In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent…

We investigate a class of zero-sum linear-quadratic stochastic differential games on a finite time horizon governed by multiscale state equations. The multiscale nature of the problem can be leveraged to reformulate the associated…

Zero-sum stochastic games provide a rich model for competitive decision making. However, under general forms of state uncertainty as considered in the Partially Observable Stochastic Game (POSG), such decision making problems are still not…

We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded. We prove the existence of the value of the game and a…