Related papers: Continuous-time Markov games with asymmetric infor…

We prove stochastic homogenization for a class of non-convex and non-coercive first-order Hamilton-Jacobi equations in a finite-range-dependence environment for Hamiltonians that can be expressed by a max-min formula. Exploiting the…

For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be computed through an auxiliary optimization problem over some…

In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…

In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is…

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 introduce two-level discounted games played by two players on a perfect-information stochastic game graph. The upper level game is a discounted game and the lower level game is an undiscounted reachability game. Two-level games model…

Using methods from the statistical mechanics of disordered systems we analyze the properties of bimatrix games with random payoffs in the limit where the number of pure strategies of each player tends to infinity. We analytically calculate…

We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority…

We investigate a two-player zero-sum stochastic differential game problem with the state process being constrained in a connected bounded closed domain, and the cost functional described by the solution of a generalized backward stochastic…

We study a zero-sum stochastic differential game (SDG) in which one controller plays an impulse control while their opponent plays a stochastic control. We consider an asymmetric setting in which the impulse player commits to, at the start…

We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such…

In this paper we consider two-person zero-sum risk-sensitive stochastic dynamic games with Borel state and action spaces and bounded reward. The term risk-sensitive refers to the fact that instead of the usual risk neutral optimization…

This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747,…

For a non-cooperative m-persons differential game, the value functions ofthe various players satisfy a system of Hamilton-Jacobi-Bellman equations.Nashequilibrium solutions in feedback form can be obtained by studying a related system of…

We propose an implementable, neural network-based structure preserving probabilistic numerical approximation for a generalized obstacle problem describing the value of a zero-sum differential game of optimal stopping with asymmetric…

We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…

We develop a game-theoretic framework for adversarially robust optimal safe predefined-time stabilization of parameter-dependent nonlinear dynamical systems with nonquadratic cost functionals. Our approach ensures that all system…

We formulate a class of mean field games on a finite state space with variational principles resembling those in continuous-state mean field games. We construct a controlled continuity equation featuring a nonlinear activation function on…

This work focuses on the rate of convergence for singular perturbation problems for first-order Hamilton-Jacobi equations. As an application we derive the rate of convergence for singularly perturbed two-players zero-sum deterministic…

We investigate the set of Nash equilibrium payoffs for two person differential games. The main result of the paper is the characterization of the set of Nash equilibrium payoffs in the terms of nonsmooth analysis. Also we obtain the…