Related papers: Time-Inconsistent Stochastic Linear-quadratic Diff…
This paper introduces an equilibrium framework based on sequential sampling in which players face strategic uncertainty over their opponents' behavior and acquire informative signals to resolve it. Sequential sampling equilibrium delivers a…
In this paper we investigate possible approaches to study general time-inconsistent optimization problems without assuming the existence of optimal strategy. This leads immediately to the need to refine the concept of time-consistency as…
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The main feature of the problem is that the weighting matrices in…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of subgame-perfect equilibrium for continuous-time games is not available…
In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game with constant coefficients in an infinite time horizon. Open-loop and closed-loop saddle points are introduced. The existence of closed-loop…
Frequency non-selective time-selective multiple access channels in which transmitters can freely choose their power control policy are considered. The individual objective of the transmitters is to maximize their averaged energy-efficiency.…
This paper investigates a linear-quadratic mean field games problem with common noise, where the drift term and diffusion term of individual state equations are coupled with both the state, control, and mean field terms of the state, and we…
This paper studies a linear-quadratic mean-field game of stochastic large-population system, where the large-population system satisfies a class of $N$ weakly coupled linear backward stochastic differential equation. Different from the…
In this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic…
This paper studies a class of linear quadratic mean field games where the coefficients of quadratic cost functions depend on both the mean and the variance of the population's state distribution through its quantile function. Such a…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the state process. As a result, the classical Bellman optimality…
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…
Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…
Several notions of game enjoy a Nash-like notion of equilibrium without guarantee of existence. There are different ways of weakening a definition of Nash-like equilibrium in order to guarantee the existence of a weakened equilibrium.…
We consider the problem of computing the set of initial states of a dynamical system such that there exists a control strategy to ensure that the trajectories satisfy a temporal logic specification with probability 1 (almost-surely). We…
This paper studies a new class of dynamic optimization problems of large-population (LP) system which consists of a large number of negligible and coupled agents. The most significant feature in our setup is the dynamics of individual…