Related papers: Partial Information Stochastic Differential Games …

We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…

We formulate and study a class of two-player zero-sum stochastic dynamic games with partial and asymmetric information. Information asymmetry introduces fundamental challenges involving \emph{belief representation} and \emph{theory of mind}…

This paper contributes to the study of relative martingales. Specifically, for a closed random set $H$, they are processes null on $H$ which decompose as $M=m+v$, where $m$ is a c\`adl\`ag uniformly integrable martingale and, $v$ is a…

Motivated by a product pricing problem, a linear-quadratic Stackelberg differential game for a regime switching system involving one leader and two followers is studied. The two followers engage in a zero-sum differential game, and both the…

In Gapeev and K\"uhn (2005), the stochastic game corresponding to perpetual convertible bonds was considered when driven by a Brownian motion and a compound Poisson process with exponential jumps. We consider the same stochastic game but…

This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…

We discuss an open-loop backward Stackelberg differential game involving single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is characterized by a backward stochastic differential equation…

n infinite two-player zero-sum game with a Borel winning set, in which the opponent's actions are monitored eventually but not necessarily immediately after they are played, is determined. The proof relies on a representation of the game as…

We study a two-player nonzero-sum stochastic differential game where one player controls the state variable via additive impulses while the other player can stop the game at any time. The main goal of this work is characterize Nash…

This paper studies a stochastic mean-field linear-quadratic optimal control problem with random coefficients. The state equation is a general linear stochastic differential equation with mean-field terms $\EE X(t)$ and $\EE u(t)$ of the…

This paper considers linear quadratic team decision problems where the players in the team affect each other's information structure through their decisions. Whereas the stochastic version of the problem is well known to be complex with…

Stochastic team decision problem is extensively studied in literature and the existence of optimal solution is obtained in recent literature. The value of information in statistical problem and decision theory is classical problem. Much of…

We present a novel two-player game in a chaotic dynamical system where players have opposing objectives regarding the system's behavior. The game is analyzed using a methodology from the field of chaos control known as partial control. Our…

We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary…

The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called "(decomposable) coarser transition kernels". This result covers various earlier existence results on correlated equilibria,…

A dual control problem is presented for the optimal stochastic control of a system governed by partial differential equations. Relationships between the optimal values of the original and the dual problems are investigated and two duality…

This paper investigates the two-person zero-sum stochastic games for piece-wise deterministic Markov decision processes with risk-sensitive finite-horizon cost criterion on a general state space. Here, the transition and cost/reward rates…

A model of stochastic games where multiple controllers jointly control the evolution of the state of a dynamic system but have access to different information about the state and action processes is considered. The asymmetry of information…

We investigate a two-player zero-sum stochastic differential game in which one of the players has more information on the game than his opponent. We show how to construct numerical schemes for the value function of this game, which is given…

We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type,…