Related papers: A zero-sum game between a singular stochastic cont…

We study a stochastic differential game between two players, controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance functional which includes a backward stochastic differential…

We propose a new dynamics for equilibrium selection of finite player discrete strategy games. The dynamics is motivated by optimal transportation, and models individual players' myopicity, greedy and uncertainty when making decisions. The…

We study zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equation in which the distribution of both state and controls of…

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 discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which…

We study Recursive Concurrent Stochastic Games (RCSGs), extending our recent analysis of recursive simple stochastic games to a concurrent setting where the two players choose moves simultaneously and independently at each state. For…

We prove that for a class of zero-sum differential games with incomplete information on both sides, the value admits a probabilistic representation as the value of a zero-sum stochastic differential game with complete information, where…

We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse…

We formulate a new class of two-person zero-sum differential games, in a stochastic setting, where a specification on a target terminal state distribution is imposed on the players. We address such added specification by introducing…

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…

In this paper we propose and analyze a class of $N$-player stochastic games that include finite fuel stochastic games as a special case. We first derive sufficient conditions for the Nash equilibrium (NE) in the form of a verification…

We investigate a two-player zero-sum stochastic differential game in which one of the players has more information on the game than his opponent. We show how to construct numerical schemes for the value function of this game, which is given…

We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual solutions of some…

In this paper, we investigate a partially observable zero sum games where the state process is a discrete time Markov chain. We consider a general utility function in the optimization criterion. We show the existence of value for both…

The paper is concerned with a zero-sum differential game in the case where a payoff is determined by the exit time, that is, the first time when the system leaves the game domain. Additionally, we assume that a part of domain's boundary is…

In this paper, we formulate a two-player zero-sum game under dynamic constraints defined by hybrid dynamical equations. The game consists of a min-max problem involving a cost functional that depends on the actions and resulting solutions…

Zero-determinant strategies are a class of memory-one strategies in repeated games which unilaterally enforce linear relationships between payoffs. It has long been unclear for what stage games zero-determinant strategies exist. We provide…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

We present a new tool for the study of multiplayer stochastic games, namely the modified game, which is a normal-form game that depends on the discount factor, the initial state, and for every player a partition of the set of states and a…

A decision maker repeatedly chooses one of a finite set of actions. In each period, the decision maker's payoff depends on fixed basic payoff of the chosen action and the frequency with which the action has been chosen in the past. We…