Related papers: Partial Information Stochastic Differential Games …
In statistical decision theory involving a single decision-maker, an information structure is said to be better than another one if for any cost function involving a hidden state variable and an action variable which is restricted to be…
We study a two-player zero-sum stochastic differential game with asymmetric information where the payoff depends on a controlled continuous-time Markov chain X with finite state space which is only observed by player 1. This model was…
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…
In a zero-sum stochastic game with signals, at each stage, two adversary players take decisions and receive a stage payoff determined by these decisions and a variable called state. The state follows a Markov chain, that is controlled by…
This work considers two-player zero-sum semi-Markov games with incomplete information on one side and perfect observation. At the beginning, the system selects a game type according to a given probability distribution and informs to Player…
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…
The main purpose of this paper is to discuss detailed the stochastic LQ control problem with random coefficients where the linear system is a multidimensional stochastic differential equation driven by a multidimensional Brownian motion and…
This paper is concerned with the stochastic linear quadratic Stackelberg differential game with overlapping information, where the diffusion terms contain the control and state variables. Here the term "overlapping" means that there are…
This paper suggests a perfect-information game, along the lines of Levy's characterization of Brownian motion, that formalizes the process of Brownian motion in game-theoretic probability. This is perhaps the simplest situation where…
For a general Multidimensional L\'{e}vy process (satisfying some moment conditions), we introduce the Multidimensional power jump processes and the related Multidimensional Teugels martingales. Furthermore, we orthogonalize the…
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is…
This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field…
Optimizing strategic decisions (a.k.a. computing equilibrium) is key to the success of many non-cooperative multi-agent applications. However, in many real-world situations, we may face the exact opposite of this game-theoretic problem --…
This paper revisits the partial information optimal control problem considered by Wang, Wu and Xiong [Wang et al 2013], where the system is derived by a controlled forward-backward stochastic differential equation with correlated noises…
The game dynamical equations are derived from Boltzmann-like equations for individual pair interactions by assuming a certain kind of imitation behavior, the so-called proportional imitation rule. They can be extended to a stochastic…
A relationship between two sided discounted singular control problems and Dynkin games is established for real valued L\'evy processes. In addition, the solution of a two-sided ergodic singular control problem is obtained as the limit of…
We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…
This paper addresses a continuous-time risk-minimizing two-player zero-sum stochastic differential game (SDG), in which each player aims to minimize its probability of failure. Failure occurs in the event when the state of the game enters…
In this paper we consider the controllability of certain class of non-autonomous neutral evolution stochastic functional differential equations, with time varying delays, driven by a fractional Brownian motion in a separable real Hilbert…