Related papers: Dynkin games with incomplete and asymmetric inform…

We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing…

In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…

In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…

We study a generic family of two-player continuous-time nonzero-sum stopping games modeling a war of attrition with symmetric information and stochastic payoffs that depend on an homogeneous linear diffusion. We first show that any…

In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functional of the pay-off. By using a recursive construction, we…

We present a new model of incomplete information games without private information in which the players use a distributionally robust optimization approach to cope with the payoff uncertainty. With some specific restrictions, we show that…

We consider a game-theoretic setting to model the interplay between attacker and defender in the context of information flow, and to reason about their optimal strategies. In contrast with standard game theory, in our games the utility of a…

Desensitization addresses safe optimal planning under parametric uncertainties by providing sensitivity function-based risk estimates. This paper expands upon the existing work on desensitization in optimal control to address safe planning…

This paper studies two-player zero-sum repeated Bayesian games in which every player has a private type that is unknown to the other player, and the initial probability of the type of every player is publicly known. The types of players are…

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…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

One of the most classical games for stochastic processes is the zero-sum Dynkin (stopping) game. We present a complete equilibrium solution to a general formulation of this game with an underlying one-dimensional diffusion. A key result is…

We study a class of two-player repeated games with incomplete information and informational externalities. In these games, two states are chosen at the outset, and players get private information on the pair, before engaging in repeated…

This paper is concerned with a linear-quadratic non-zero sum differential game with asymmetric delayed information. To be specific, two players exist time delays simultaneously which are different, leading the dynamical system being an…

Dynamic zero-sum games are an important class of problems with applications ranging from evasion-pursuit and heads-up poker to certain adversarial versions of control problems such as multi-armed bandit and multiclass queuing problems.…

We study the problem of Bayesian learning in a dynamical system involving strategic agents with asymmetric information. In a series of seminal papers in the literature, this problem has been investigated under a simplifying model where…

In a zero-sum stochastic game with signals, at each stage, two adversary players take decisions and receive a stage payoff determined by these decisions and a variable called state. The state follows a Markov chain, that is controlled by…

We prove that every two-player nonzero-sum stopping game in discrete time admits an \epsilon-equilibrium in randomized strategies for every \epsilon >0. We use a stochastic variation of Ramsey's theorem, which enables us to reduce the…

This article studies the value of information in route choice decisions when a fraction of players have access to high accuracy information about traffic incidents relative to others. To model such environments, we introduce a Bayesian…

We revisit the question of modeling incomplete information among 2 Bayesian players, following an ex-ante approach based on values of zero-sum games. $K$ being the finite set of possible parameters, an information structure is defined as a…