Related papers: Stochastic differential games with inside informat…
Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian. Then Nash equilibria…
This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion market. We derive constant Nash equilibria and provide…
We discuss the long-run behavior of stochastic dynamics of many interacting players in spatial evolutionary games. In particular, we investigate the effect of the number of players and the noise level on the stochastic stability of Nash…
In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…
We consider a symmetric $n$-player nonzero-sum stochastic differential game with controlled jumps and mean-field type interaction among the players. Each player minimizes some expected cost by affecting the drift as well as the jump part of…
We study \emph{optimal insider control problems}, i.e. optimal control problems of stochastic systems where the controller at any time $t$ in addition to knowledge about the history of the system up to this time, also has additional…
The main goal of this paper is to study a stochastic game connected to a system of forward backward stochastic differential equations (FBSDEs) involving delay and so-called noisy memory. We derive suffcient and necessary maximum principles…
Motivated by game-theoretic models of crowd motion dynamics, this paper analyzes a broad class of distributed games with jump diffusions within the recently developed $\alpha$-potential game framework. We demonstrate that analyzing the…
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…
In this second part of our two-part paper, we invoke the stochastic maximum principle, conditional Hamiltonian and the coupled backward-forward stochastic differential equations of the first part [1] to derive team optimal decentralized…
We study a class of games which model the competition among agents to access some service provided by distributed service units and which exhibit congestion and frustration phenomena when service units have limited capacity. We propose a…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…
Stochastic differential games have been used extensively to model agents' competitions in Finance, for instance, in P2P lending platforms from the Fintech industry, the banking system for systemic risk, and insurance markets. The recently…
We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.
We introduce a simple stochastic dynamics for game theory. It assumes ``local'' rationality in the sense that any player climbs the gradient of his utility function in the presence of a stochastic force which represents deviation from…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…
This paper develops a hierarchical games-in-games control architecture for hybrid stochastic systems governed by regime-switching jump-diffusions. We model the interplay between continuous state dynamics and discrete mode transitions as a…
In this paper we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games whose cost functionals are defined by a system of coupled backward stochastic differential equations. We obtain an existence…