Related papers: On Finding Equilibrium Stopping Times for Time-Inc…
We study one-sided and $\alpha$-correct sequential hypothesis testing for data generated by an ergodic Markov chain. The null hypothesis is that the unknown transition matrix belongs to a prescribed set $P$ of stochastic matrices, and the…
One of the proposed solutions to the equilibrium selection problem for agents learning in repeated games is obtained via the notion of stochastic stability. Learning algorithms are perturbed so that the Markov chain underlying the learning…
We study the complexity of central controller synthesis problems for finite-state Markov decision processes, where the objective is to optimize both the expected mean-payoff performance of the system and its stability. We argue that the…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of…
We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…
This work investigates the existence and uniqueness of the Nash equilibrium (solutions to competitive problems in which individual controls aim at separate desired states) for a bi-objective optimal control problem governed by a fractional…
In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework. Open-loop equilibrium controls and their particular…
We analyse the computational complexity of finding Nash equilibria in stochastic multiplayer games with $\omega$-regular objectives. While the existence of an equilibrium whose payoff falls into a certain interval may be undecidable, we…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…
This paper considers a continuous time Kyle-Back model which is a game problem between an insider and a market marker. The existing literature typically focuses on the existence of equilibrium by using the PDE approach, which requires…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value…
It is well known that stability is the most fundamental nature with regard to a control system, in view of this, the stabilization becomes an inevitable control problem. This article mainly discusses the optimal control and stabilization…
We consider multi-player stopping games in continuous time. Unlike Dynkin games, in our games the payoff of each player is revealed after all the players stop. Moreover, each player can adjust her own stopping strategy by observing other…
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…
The mathematical characterization of social-distancing games in classical epidemic theory remains an important question, for their applications to both infectious-disease theory and memetic theory. We consider a special case of the dynamic…