Related papers: On Zero-sum Optimal Stopping Games

We study Stackelberg equilibria in finitely repeated games, where the leader commits to a strategy that picks actions in each round and can be adaptive to the history of play (i.e. they commit to an algorithm). In particular, we study…

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…

The sero-sum stopping game for the stochastic sequences has been formulated in late sixties of the twenty century by Dynkin (1969). The formulation had the assumption about separability of decision moment of the players which simplified the…

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…

This paper provides necessary and sufficient conditions for a pair of randomised stopping times to form a saddle point of a zero-sum Dynkin game with partial and/or asymmetric information across players. The framework is non-Markovian and…

We consider two-player zero-sum concurrent stochastic games (CSGs) played on graphs with reachability and safety objectives. These include degenerate classes such as Markov decision processes or turn-based stochastic games, which can be…

Given an initial (resp., terminal) probability measure $\mu$ (resp., $\nu$) on $\mathbb{R}^d$, we characterize those optimal stopping times $\tau$ that maximize or minimize the functional $\mathbb{E} |B_0 - B_\tau|^{\alpha}$, $\alpha > 0$,…

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…

We consider concurrent stochastic games played on graphs with reachability and safety objectives. These games can be solved by value iteration as well as strategy iteration, each of them yielding a sequence of under-approximations of the…

A Dynkin game is considered for stochastic differential equations with random coefficients. We first apply Qiu and Tang's maximum principle for backward stochastic partial differential equations to generalize Krylov estimate for the…

In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…

In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…

Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…

Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…

This paper considers a class of reinforcement-based learning (namely, perturbed learning automata) and provides a stochastic-stability analysis in repeatedly-played, positive-utility, finite strategic-form games. Prior work in this class of…

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 introduce a zero-sum game problem of mean-field type as an extension of the classical zero-sum Dynkin game problem to the case where the payoff processes might depend on the value of the game and its probability law. We establish…

This paper addresses the longstanding problem of determining the structure of the $\leq_{\mathrm{LT}}$-order in the Effective Topos, known to effectively embed the Turing degrees. In a surprising discovery, we show that the…

We study a robust Dynkin game over a set of mutually singular probabilities. We first prove that for the conservative player of the game, her lower and upper value processes coincide (i.e. She has a value process $V $ in the game). Such a…

In the classical optimal stopping problem, a player is given a sequence of random variables $X_1\ldots X_n$ with known distributions. After observing the realization of $X_i$, the player can either accept the observed reward from $X_i$ and…