Related papers: Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin g…

In this paper, we consider reflected anticipated backward stochastic differential equations (RABSDEs, for short) with an additional resistance in the generators. Firstly, we study the existence and uniqueness results. In Luo (2020), the…

We formulate a Contract for Difference (CfD) with early exit options as a two-player zero-sum Dynkin game, reflecting the strategic interaction between an electricity producer and a regulatory entity. The game incorporates penalties for…

In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method.…

This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to…

The present paper is devoted to the study of mean-field backward stochastic differential equations (MFBSDEs) with double mean reflections whose generators are not Lipschitz continuous. With the help of the Skorokhod problem and some a…

This paper considers a class of experimentation games with L\'{e}vy bandits encompassing those of Bolton and Harris (1999) and Keller, Rady and Cripps (2005). Its main result is that efficient (perfect Bayesian) equilibria exist whenever…

This paper extends our previous work to continuous-time optimal stopping, focusing on American options in an exploratory setting. Our first contribution is an entropy-regularized penalization scheme, inspired by classical penalization…

This paper studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the…

Stochastic games combine controllable and adversarial non-determinism with stochastic behavior and are a common tool in control, verification and synthesis of reactive systems facing uncertainty. Multi-objective stochastic games are natural…

We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted $\mathbb{L}^2$-data when the generator is integrated with…

We consider finite-horizon and infinite-horizon versions of a dynamic game with $N$ selfish players who observe their types privately and take actions that are publicly observed. Players' types evolve as conditionally independent Markov…

In this paper, we study the backward stochastic differential equations driven by G-Brownian motion with double mean reflections, which means that the constraints are made on the law of the solution. Making full use of the backward Skorokhod…

We consider zero-sum stochastic differential games with possibly path-dependent controlled state. Unlike the previous literature, we allow for weak solutions of the state equation so that the players' controls are automatically of feedback…

We prove that every two-player nonzero-sum stopping game in discrete time admits an \epsilon-equilibrium in randomized strategies for every \epsilon >0. We use a stochastic variation of Ramsey's theorem, which enables us to reduce the…

We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…

We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward…

We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin games.

In this paper we investigate the existence and uniqueness of bounded, periodic and almost periodic solutions for second order differential equations involving reflection of the argument.The relationship between frequency modules of forced…

We address the problem of mechanism design for two-stage repeated stochastic games -- a novel setting using which many emerging problems in next-generation electricity markets can be readily modeled. Repeated playing affords the players a…

In this paper, a class of reflected generalized backward doubly stochastic differential equations (reflected GBDSDEs in short) driven by Teugels martingales associated with L\'{e}vy process and the integral with respect to an adapted…