Related papers: Optimal variance stopping with linear diffusions

We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…

In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical…

We consider a randomized algorithm for the unique games problem, using independent multinomial probabilities to assign labels to the vertices of a graph. The expected value of the solution obtained by the algorithm is expressed as a…

This paper studies a class of strongly monotone games involving non-cooperative agents that optimize their own time-varying cost functions. We assume that the agents can observe other agents' historical actions and choose actions that best…

This paper develops an algorithm for upper- and lower-bounding the value function for a class of linear time-varying games subject to convex control sets. In particular, a two-player zero-sum differential game is considered where the…

In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…

We study the problem of characterizing the set of games that are consistent with observed equilibrium play. Our contribution is to develop and analyze a new methodology based on convex optimization to address this problem for many classes…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

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…

Three notions of random stopping times exist in the literature. We introduce two concepts of equivalence of random stopping times, motivated by optimal stopping problems and stopping games respectively. We prove that these two concepts…

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 formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…

A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process of the max-player is assumed to be smaller than the payoff…

We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…

Zero-sum Dynkin games under Poisson constraints, where players can only stop at the event times of a Poisson process, have been studied widely in the recent literature. The constraint can be modelled in two ways: either both players share…

In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…

We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…

In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…

This note is devoted to the distributed optimization problem of multi-agent systems with nonconvex velocity constraints, nonuniform position constraints and nonuniform stepsizes. Two distributed constrained algorithms with nonconvex…

This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game's…