Related papers: Generalized Dynkin Games and Doubly Reflected BSDE…

We prove the global-in-time well-posedness for a broad class of mean field game problems, which is beyond the special linear-quadratic setting, as long as the mean field sensitivity is not too large. Through the stochastic maximum…

We consider reflected generalized backward doubly stochastic differential equations driven by a non-homogeneous L\'evy process. Under stochastic conditions on the coefficients, we prove the existence and uniqueness of a solution.…

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…

We investigate the resolution of second-order, potential, and monotone mean field games with the generalized conditional gradient algorithm, an extension of the Frank-Wolfe algorithm. We show that the method is equivalent to the fictitious…

We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin games.

We adapt the Stochastic Perron's method in Bayraktar and Sirbu (ArXiv: 1103.0538) to the case of double obstacle problems associated to Dynkin games. We construct, symmetrically, a viscosity sub-solution which dominates the upper value of…

The objective of the present paper is to investigate the solution of fully coupled mean-field forward-backward stochastic differential equations (FBSDEs in short) and to study the stochastic control problems of mean-field type as well as…

We consider a class of extended mean field games with common noises, where there exists a strictly terminal constraint. We solve the problem by reducing it to an unconstrained control problem by adding a penalized term in the cost…

This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…

This paper considers a class of noncooperative games in which the feasible decision sets of all players are coupled together by a coupled inequality constraint. Adopting the variational inequality formulation of the game, we first introduce…

We define a class of reflected backward stochastic differential equation (RBSDE) driven by a marked point process (MPP) and a Brownian motion, where the solution is constrained to stay above a given c\`adl\`ag process. The MPP is only…

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…

This paper is devoted to a class of finite horizon deterministic mean field games with Grushin type dynamics, state constraints and nonlocal coupling. First, we consider the optimal control problem that each agent aims to solve when the…

This paper introduces a class of continuous-time, finite-player stochastic general-sum differential games that admit solutions through an exact linear PDE system. We formulate a distribution planning game utilizing the cross-log-likelihood…

A relationship between two sided discounted singular control problems and Dynkin games is established for real valued L\'evy processes. In addition, the solution of a two-sided ergodic singular control problem is obtained as the limit of…

This paper investigates a robust incentive Stackelberg stochastic differential game problem for a linear-quadratic mean field system, where the model uncertainty appears in the drift term of the leader's state equation. Moreover, both the…

In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of…

We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…

In this paper we study the N-player nonzero-sum Dynkin game ($N\geq 3$) in continuous time, which is a non-cooperative game where the strategies are stopping times. We show that the game has a Nash equilibrium point for general payoff…

This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…