Related papers: Dynkin games with Poisson random intervention time…
We study deterministic optimal control problems for differential games with finite horizon. We propose new approximations of the strategies in feedback form, and show error estimates and a convergence result of the value in some weak sense…
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…
We study a version of the classical Cayley-Moser optimal stopping problem, in which a seller must sell an asset by a given deadline, with the offers, which are independent random variables with a known distribution, arriving at random…
Kiiking is an extreme sport in which athletes alternate between standing and squatting to pump a standing swing till it is inverted and completes a rotation. A minimal model of the sport may be cast in terms of the control of an actively…
We study an optimal investment problem with multiple entries and forced exits. A closed form solution of the optimisation problem is presented for general underlying diffusion dynamics and a general running payoff function in the case when…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic…
This paper develops an algorithm for upper- and lower-bounding the value function for a class of linear time-varying games subject to convex control sets. In particular, a two-player zero-sum differential game is considered where the…
In this paper, Poisson time series models are considered to describe the number of field goals made by a basketball team or player at both the game (within-season) and the minute (within-game) level. To deal with the existence of temporal…
The sero-sum stopping game for the stochastic sequences has been formulated in late sixties of the twenty century by Dynkin (1969). The formulation had the assumption about separability of decision moment of the players which simplified the…
We formulate a notion of doubly reflected BSDE in the case where the barriers $\xi$ and $\zeta$ do not satisfy any regularity assumption and with a general filtration. Under a technical assumption (a Mokobodzki-type condition), we show…
Emerging applications in engineering such as crowd-sourcing and (mis)information propagation involve a large population of heterogeneous users or agents in a complex network who strategically make dynamic decisions. In this work, we…
We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for…
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…
This paper investigates the encirclement control problem involving two groups using a non-cooperative differential game approach. The active group seeks to chase and encircle the passive group, while the passive group responds by fleeing…
We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle $L$ and the upper obstacle $U$ of the equation are completely separated, we…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value…
The paper introduces a new approach to theory of differential games in which entangled players try to predict and influence actions of their adversaries. The entanglement is generated be a joint probability density known by the players.…