Related papers: Approximate solutions of continuous-time stochasti…
This paper considers the discounted criterion of nonzero-sum decentralized stochastic games with prospect players. The state and action spaces are finite. The state transition probability is nonstationary. Each player independently controls…
This article deals with classes of antagonistic games with two players. A game is specified in terms of two `hostile' stochastic processes representing mutual attacks upon random times exerting casualties of random magnitudes. The game ends…
We introduce a modification of Perron's method, where semi-solutions are considered in a carefully defined asymptotic sense. With this definition, we can show, in a rather elementary way, that in a zero-sum game or a control problem (with…
This paper studies the mixed zero-sum stochastic differential game problem. We allow the functionals and dynamics to be of polynomial growth. The problem is formulated as an extended doubly reflected BSDEs with a specific generator. We show…
We consider a nonzero-sum Markov game on an abstract measurable state space with compact metric action spaces. The goal of each player is to maximize his respective discounted payoff function under the condition that some constraints on a…
The properties of value functions of time inhomogeneous optimal stopping problem and zero-sum game (Dynkin game) are studied through time dependent Dirichlet form. Under the absolute continuity condition on the transition function of the…
This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent…
We consider time-homogeneous uniformly nondegenerate stochastic differential games in domains and propose constructing $\varepsilon$-optimal strategies and policies by using adjoint Markov strategies and adjoint Markov policies which are…
Many security and other real-world situations are dynamic in nature and can be modelled as strictly competitive (or zero-sum) dynamic games. In these domains, agents perform actions to affect the environment and receive observations --…
We consider the problem of continuous-time policy evaluation. This consists in learning through observations the value function associated with an uncontrolled continuous-time stochastic dynamic and a reward function. We propose two…
In this paper we consider two-person zero-sum risk-sensitive stochastic dynamic games with Borel state and action spaces and bounded reward. The term risk-sensitive refers to the fact that instead of the usual risk neutral optimization…
We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the…
Game logic is a dynamic modal logic which models strategic two person games; it contains propositional dynamic logic (PDL) as a fragment. We propose an interpretation of game logic based on stochastic effectivity functions. A definition of…
We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…
We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such…
We study the game modification problem, where a benevolent game designer or a malevolent adversary modifies the reward function of a zero-sum Markov game so that a target deterministic or stochastic policy profile becomes the unique Markov…
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…
We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for…
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…
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…