Related papers: Linear Quadratic Stochastic Differential Games: Op…
This paper investigates closed-loop Nash equilibria for discrete-time linear-quadratic (LQ) stochastic nonzero-sum difference games with random coefficients. Unlike existing works, we consider randomness in both state dynamics and cost…
This paper is concerned with the closed-loop Stackelberg strategy for linear-quadratic leader-follower game. Completely different from the open-loop and feedback Stackelberg strategy, the solvability of the closed-loop solution even the…
This paper is concerned with a two-person zero-sum indefinite stochastic linear-quadratic Stackelberg differential game with asymmetric informational uncertainties, where both the leader and follower face different and unknown disturbances.…
This paper investigates the non-zero-sum linear-quadratic stochastic Stackelberg differential games with affine constraints, which depend on both the follower's response and the leader's strategy. With the help of the stochastic Riccati…
We study the closed-loop solvability of a stochastic linear quadratic optimal control problem for systems governed by stochastic evolution equations. This solvability is established by means of solvability of the corresponding Riccati…
Game theory is playing more and more important roles in understanding complex systems and in investigating intelligent machines with various uncertainties. As a starting point, we consider the classical two-player zero-sum linear-quadratic…
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed…
The purpose of this paper is to study 2-person zero-sum stochastic differential games, in which one player is a major one and the other player is a group of $N$ minor agents which are collectively playing, statistically identical and have…
In this paper, we investigate a new model of a linear-quadratic mean-field stochastic Stackelberg differential game with one leader and two followers, in which the leader is allowed to stop her strategy at a random time. Our overarching…
We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…
This paper formulates and studies a linear quadratic (LQ for short) game problem governed by linear stochastic Volterra integral equation. Sufficient and necessary condition of the existence of saddle points for this problem are derived. As…
We consider zero-sum stochastic differential games with possibly path-dependent controlled state. Unlike the previous literature, we allow for weak solutions of the state equation so that the players' controls are automatically of feedback…
This paper addresses the problem of steering a discrete-time linear dynamical system from an initial Gaussian distribution to a final distribution in a game-theoretic setting. One of the two players strives to minimize a quadratic payoff,…
In this paper we formulate and solve a mean-field game described by a linear stochastic dynamics and a quadratic or exponential-quadratic cost functional for each generic player. The optimal strategies for the players are given explicitly…
This paper studies finite-horizon stochastic linear-quadratic optimal control problems with random coefficients and Poisson jumps, where the weighting matrices may be random and indefinite. Under a uniform convexity condition on the cost…
This paper investigates a zero-sum stochastic linear-quadratic (SLQ, for short) Stackelberg differential game problem, where the coefficients of the state equation and the weighting matrices in the performance functional are regulated by a…
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-loop equilibrium control and a linear feedback equilibrium…
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random.…
This paper is concerned with zero-sum stochastic linear-quadratic differential games in a regime switching model. The coefficients of the games depend on the underlying noises, so it is a non-Markovian regime switching model. Based on the…
This paper is concerned with a stochastic linear-quadratic leader-follower differential game with elephant memory. The model is general in that the state equation for both the leader and the follower includes the elephant memory of the…