Related papers: A differential game with exit costs

In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain $2$-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is…

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…

This paper addresses a class of network games played by dynamic agents using their outputs. Unlike most existing related works, the Nash equilibrium in this work is defined by functions of agent outputs instead of full agent states, which…

This article deals with classes of antagonistic games with two players. A game is specified in terms of two `hostile' stochastic processes representing mutual attacks upon random times exerting casualties of random magnitudes. The game ends…

In this paper, the known deterministic linear-quadratic Stackelberg game is revisited, whose open-loop Stackelberg solution actually possesses the nature of time inconsistency. To handle this time inconsistency, {a two-tier game framework…

We present a framework that incorporates the idea of bounded rationality into dynamic stochastic pursuit-evasion games. The solution of a stochastic game is characterized, in general, by its (Nash) equilibria in feedback form. However,…

We study the evolutionary dynamics of the prisoner's dilemma game in which cooperators and defectors interact with another actor type called exiters. Rather than being exploited by defectors, exiters exit the game in favour of a small…

This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to…

In this paper, we study boundary-value problems describing the exit distribution of finite-velocity random motions from prescribed domains. For the standard telegraph process, with and without drift, we derive the Dirichlet problems…

We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…

This paper gives a complete analysis of worst-case equilibria for various versions of weighted congestion games with two players and affine cost functions. The results are exact price of anarchy bounds which are parametric in the weights of…

We discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which…

We consider a reach-avoid differential game, in which one of the players aims to steer the system into a target set without violating a set of state constraints, while the other player tries to prevent the first from succeeding; the system…

This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…

This article introduces differential hybrid games, which combine differential games with hybrid games. In both kinds of games, two players interact with continuous dynamics. The difference is that hybrid games also provide all the features…

We study a two-player nonzero-sum stochastic differential game where one player controls the state variable via additive impulses while the other player can stop the game at any time. The main goal of this work is characterize Nash…

This work investigates continuous time stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. The control processes are…

We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…

We consider a pursuit-evasion differential game with a Hybrid system of dynamics in Hilbert space with integral constraints on the control functions of players. We show that the pursuer has a winning strategy.

We analyze an $N+1$-player game and the corresponding mean field game with state space $\{0,1\}$. The transition rate of $j$-th player is the sum of his control $\alpha^j$ plus a minimum jumping rate $\eta$. Instead of working under…