Related papers: Shortfall Minimization for Game Options in Discret…
Synthesizing near-optimal mixed strategies for zero-sum differential games (ZSDGs) has been a longstanding challenge. Existing research mainly focuses on characterizing the theoretical value function, while the practical design of…
Infinitely repeated games can support cooperative outcomes that are not equilibria in the one-shot game. The idea is to make sure that any gains from deviating will be offset by retaliation in future rounds. However, this model of…
Stochastic games are an important class of problems that generalize Markov decision processes to game theoretic scenarios. We consider finite state two-player zero-sum stochastic games over an infinite time horizon with discounted rewards.…
The window mechanism was introduced by Chatterjee et al. to reinforce mean-payoff and total-payoff objectives with time bounds in two-player turn-based games on graphs. It has since proved useful in a variety of settings, including parity…
We present a method to find the maximum magnitude of any supply-shortfall service that an aggregator of energy storage devices is able to sell to a grid operator. This is first demonstrated in deterministic settings, then applied to…
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 studies a discrete-time mean-variance model based on reinforcement learning. Compared with its continuous-time counterpart in \cite{zhou2020mv}, the discrete-time model makes more general assumptions about the asset's return…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process of the max-player is assumed to be smaller than the payoff…
The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal…
Tracking the solution of time-varying variational inequalities is an important problem with applications in game theory, optimization, and machine learning. Existing work considers time-varying games or time-varying optimization problems.…
We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his wealth reaches a specified ruin level {\it before} death, (2) the probability that his wealth reaches that…
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…
This paper considers the setting where a cloud server services a static set or a dynamic sequence of tasks submitted by multiple clients. Every client wishes to assure honest execution of tasks by additionally employing a trusted third…
In cost sharing games with delays, a set of agents jointly allocates a finite subset of resources. Each resource has a fixed cost that has to be shared by the players, and each agent has a nonshareable player-specific delay for each…
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that optimal strategies must lie on a discrete grid in the plane, and…
Stochastic games with discounted payoff, introduced by Shapley, model adversarial interactions in stochastic environments where two players try to optimize a discounted sum of rewards. In this model, long-term weights are geometrically…
We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value function is the minimal positive solution of a second order…
In the framework of continuous time symmetric stochastic differential games in open loop strategies, we introduce a generalization of mean field game solution, called coarse correlated solution. This can be seen as the analogue of a coarse…