Related papers: On the Masami Yasuda stopping game

Stochastic games are a classical model in game theory in which two opponents interact and the environment changes in response to the players' behavior. The central solution concepts for these games are the discounted values and the value,…

We propose an implementable, neural network-based structure preserving probabilistic numerical approximation for a generalized obstacle problem describing the value of a zero-sum differential game of optimal stopping with asymmetric…

We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.…

This paper studies n-player games where players beliefs about their opponents behaviour are capacities. The concept of an equilibrium under uncertainty was introduced J.Dow and S.Werlang (J Econ. Theory 64 (1994) 205--224) for two players…

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…

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…

Stochastic games with discounted payoff, introduced by Shapley, model adversarial interactions in stochastic environments where two players try to optimize a discounted sum of rewards. In this model, long-term weights are geometrically…

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…

A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…

Mean field games is a recent area of study introduced by Lions and Lasry in a series of seminal papers in 2006. Mean field games model situations of competition between large number of rational agents that play non-cooperative dynamic games…

We study a finite-horizon two-person zero-sum risk-sensitive stochastic game for continuous-time Markov chains and Borel state and action spaces, in which payoff rates, transition rates and terminal reward functions are allowed to be…

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…

We present a new notion of solution for mean field games master equations. This notion allows us to work with solutions which are merely continuous. We prove first results of uniqueness and stability for such solutions. It turns out that…

In this paper, we examine the stationary relaxed singular control problem within a multi-dimensional framework for a single agent, as well as its mean field game equivalent. We demonstrate that optimal relaxed controls exist for two problem…

In this paper, we want to investigate some kind of Dynkin's game under ambiguity which is represented by Backward Stochastic Differential Equation (shortly BSDE) with standard generator function g(t, y, z). Under regular assumptions, a pair…

Simple stochastic games can be solved by value iteration (VI), which yields a sequence of under-approximations of the value of the game. This sequence is guaranteed to converge to the value only in the limit. Since no stopping criterion is…

We consider a sequential inspection game where an inspector uses a limited number of inspections over a larger number of time periods to detect a violation (an illegal act) of an inspectee. Compared with earlier models, we allow varying…

In~[1],authors considered a general finite horizon model of dynamic game of asymmetric information, where N players have types evolving as independent Markovian process, where each player observes its own type perfectly and actions of all…

In the paper we present a model of discrete-time mean-field game with several populations of players. Mean-field games with multiple populations of the players have only been studied in the literature in the continuous-time setting. The…

We study nonzero-sum stochastic games for continuous time Markov chains on a denumerable state space with risk sensitive discounted and ergodic cost criteria. For the discounted cost criterion we first show that the corresponding system of…