Related papers: Shortfall Minimization for Game Options in Discret…

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…

We study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Kifer in \cite{Kifer} in the case of a perfect market model to the case of an imperfect market with…

This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game's…

We establish the existence of optimal scheduling strategies for time-bounded reachability in continuous-time Markov decision processes, and of co-optimal strategies for continuous-time Markov games. Furthermore, we show that optimal control…

In this paper, we consider the social optimal problem of discrete time finite state space mean field games (referred to as finite mean field games [1]). Unlike the individual optimization of their own cost function in competitive models, in…

We justify and give error estimates for binomial approximations of game (Israeli) options in the Black--Scholes market with Lipschitz continuous path dependent payoffs which are new also for usual American style options. We show also that…

Individuals are often faced with temptations that can lead them astray from long-term goals. We're interested in developing interventions that steer individuals toward making good initial decisions and then maintaining those decisions over…

This paper studies the properties of discrete time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous time strategies can be used effectively for a discrete time market after a…

Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…

This paper considers the optimal dispatch of energy-constrained heterogeneous storage units to maximise security of supply. A policy, requiring no knowledge of the future, is presented and shown to minimise unserved energy during…

We give a self-contained and elementary proof for boundedness, existence, and uniqueness of solutions to dynamic programming principles (DPP) for biased tug-of-war games with running costs. The domain we work in is very general, and as a…

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…

This paper investigates a class of games with large strategy spaces, motivated by challenges in AI alignment and language games. We introduce the hidden game problem, where for each player, an unknown subset of strategies consistently…

We study equilibrium finding in polymatrix games under differential privacy constraints. Prior work in this area fails to achieve both high-accuracy equilibria and a low privacy budget. To better understand the fundamental limitations of…

We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin games.

We prove that zero-sum Dynkin games in continuous time with partial and asymmetric information admit a value in randomised stopping times when the stopping payoffs of the players are general \cadlag measurable processes. As a by-product of…

A \emph{bidding} game is played on a graph as follows. A token is placed on an initial vertex and both players are allocated budgets. In each turn, the players simultaneously submit bids that do not exceed their available budgets, the…

Transmitters of a multiple access channel are assumed to freely choose their power control strategy in order to be energy-efficient. We show that in a stochastic game framework, we can develop energy-efficient distributed control strategies…

We investigate the interior turnpike phenomenon for discrete-time multi-agent optimal control problems. While for continuous systems the turnpike property has been established, we focus here on first-order discretizations of such systems.…

We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the…