Related papers: Zero-sum and nonzero-sum differential games withou…

This paper considers the problem of two-player zero-sum stochastic differential game with both players adopting impulse controls in finite horizon under rather weak assumptions on the cost functions ($c$ and $\chi$ not decreasing in time).…

A general model for zero-sum stochastic games with asymmetric information is considered. In this model, each player's information at each time can be divided into a common information part and a private information part. Under certain…

We consider discrete time partially observable zero-sum stochastic game with average payoff criterion. We study the game using an equivalent completely observable game. We show that the game has a value and also we come up with a pair of…

In this paper, we investigate Nash equilibrium payoffs for nonzero-sum stochastic differential games with reflection. We obtain an existence theorem and a characterization theorem of Nash equilibrium payoffs for nonzero-sum stochastic…

In this paper, we study Nash equilibrium payoffs for nonzero-sum stochastic differential games via the theory of backward stochastic differential equations. We obtain an existence theorem and a characterization theorem of Nash equilibrium…

For a non-cooperative differential game, the value functions of the various players satisfy a system of Hamilton-Jacobi equations. In the present paper, we consider a class of infinite-horizon games with nonlinear costs exponentially…

In this paper we consider non zero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of Ergodic BSDEs, and prove the existence of a…

This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the…

We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority…

We consider a two-player zero-sum deterministic differential game where each player uses both continuous and impulse controls in infinite-time horizon. We assume that the impulses supposed to be of general term and the costs depend on the…

In the present paper, we consider a class of two players infinite horizon differential games, with piecewise smooth costs exponentially discounted in time. Through the analysis of the value functions, we study in which cases it is possible…

In this paper we study zero-sum two-player stochastic differential games with jumps with the help of theory of Backward Stochastic Differential Equations (BSDEs). We generalize the results of Fleming and Souganidis [10] and those by Biswas…

This paper is concerned with non-zero sum differential games of mean-field stochastic differential equations with partial information and convex control domain. First, applying the classical convex variations, we obtain stochastic maximum…

This paper is related to nonzero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition. The…

This paper is concerned with a new type of differential game problems of forwardbackward stochastic systems. There are three distinguishing features: Firstly, our game systems are forward-backward doubly stochastic differential equations,…

We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies…

In this paper, we study nonzero-sum separable games, which are continuous games whose payoffs take a sum-of-products form. Included in this subclass are all finite games and polynomial games. We investigate the structure of equilibria in…

On a filtered probability space $(\Omega ,\mathcal{F}, (\mathcal{F}_t)_{t\in[0,\infty]}, \mathbb{P})$, we consider the two-player non-zero-sum stopping game $u^i := \mathbb{E}[U^i(\rho,\tau)],\ i=1,2$, where the first player choose a…

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…

This work develops an approximation procedure for a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. Both proportional reinsurance and excess-of loss reinsurance policies are…