Related papers: A differential game with exit costs

We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…

We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study the regularity of the value function for such a control…

We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We prove that the value function of this game is solution of an…

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…

This paper presents Hamilton-Jacobi (HJ) formulations for two classes of two-player zero-sum games: one with a maximum cost value over time, and one with a minimum cost value over time. In the zero-sum game setting, player A minimizes the…

This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the associated optimal stopping strategy are…

We prove the dynamic programming principe for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. The zeroth-order "coefficient"…

This paper considers a new class of deterministic finite-time horizon, two-player, zero-sum differential games (DGs) in which the maximizing player is allowed to take continuous and impulse controls whereas the minimizing player is allowed…

Leveraging tools from the study of linear fractional transformations and algebraic Riccati equations, a local characterization of consistent conjectural variations equilibrium is given for two player games on continuous action spaces with…

In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exiting is an optimal stopping problem, that can be solved using…

We extend classical evolutionary game dynamics based on the momentary action choices of agents by accounting for two elements: forward-looking behavior and exploration cost. We focus on pairwise comparison protocols that cover major…

For a non-cooperative differential game, the value functions of the various players satisfy a system of Hamilton-Jacobi equations. In the present paper, we consider a class of infinite-horizon games with nonlinear costs exponentially…

We study pursuit-evasion differential games between a faster pursuer moving in 3D space and an evader moving in a plane. We first extend the well-known Apollonius circle to 3D space, by which we construct the isochron for the considered two…

In this paper, we study two-player investment problems with investment costs that are bounded below by some fixed positive constant. We seek a description of optimal investment strategies for a duopoly problem in which two firms invest in…

We propose a model of discrete time dynamic congestion games with atomic players and a single source-destination pair. The latencies of edges are composed by free-flow transit times and possible queuing time due to capacity constraints. We…

We introduce a game in which two players with opposing objectives seek to repeatedly takeover a common resource. The resource is modeled as a discrete time dynamical system over which a player can gain control after spending a…

The purpose of this paper is to study 2-person zero-sum stochastic differential games, in which one player is a major one and the other player is a group of $N$ minor agents which are collectively playing, statistically identical and have…

In a multitime hybrid differential game with mechanical work payoff, the multitime upper value function and the multitime lower value function are viscosity solutions of original PDEs of type Hamilton-Jacobi-Isaacs.

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 an N-pursuer vs. M-evader team conflict is studied. The differential game of border defense is addressed and we focus on the game of degree in the region of the state space where the pursuers are able to win. This work extends…