Related papers: Covariance steering in zero-sum linear-quadratic t…
In this paper, we address the inverse problem for linear-quadratic differential non-cooperative games with output-feedback. Given players' stabilizing feedback laws, the goal is to find cost function parameters that lead to a game for which…
Many problems in robotics involve multiple decision making agents. To operate efficiently in such settings, a robot must reason about the impact of its decisions on the behavior of other agents. Differential games offer an expressive…
This paper is concerned with a class of linear-quadratic stochastic large-population problems with partial information, where the individual agent only has access to a noisy observation process related to the state. The dynamics of each…
In the present work, we consider 2-person zero-sum stochastic differential games with a nonlinear pay-off functional which is defined through a backward stochastic differential equation. Our main objective is to study for such a game the…
We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…
The paper is concerned with a zero-sum Stackelberg stochastic linear-quadratic (LQ, for short) differential game over finite horizons. Under a fairly weak condition, the Stackelberg equilibrium is explicitly obtained by first solving a…
This paper introduces a class of continuous-time, finite-player stochastic general-sum differential games that admit solutions through an exact linear PDE system. We formulate a distribution planning game utilizing the cross-log-likelihood…
This paper deals with a two-person zero-sum differential game for a dynamical system described by a Caputo fractional differential equation of order $\alpha \in (0, 1)$ and a Bolza cost functional. The differential game is associated to the…
In this paper, we investigate a new model of a linear-quadratic mean-field stochastic Stackelberg differential game with one leader and two followers, in which the leader is allowed to stop her strategy at a random time. Our overarching…
In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations with singular and non-convolution-type coefficients. The weighting matrices in the cost functional are not assumed to be non-negative…
This paper proposes a novel iterative algorithm to compute the stabilizing solution of regime-switching stochastic game-theoretic Riccati differential equations with periodic coefficients. The method decomposes the original complex…
In this paper, we formulate a two-player zero-sum game under dynamic constraints defined by hybrid dynamical equations. The game consists of a min-max problem involving a cost functional that depends on the actions and resulting solutions…
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 studies the problem of steering the distribution of a linear time-invariant system from an initial normal distribution to a terminal normal distribution under no knowledge of the system dynamics. This data-driven control…
We consider a Markovian stochastic control problem with model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feed-back (closed-loop) strategies. The adverse player (nature) who does not have a…
We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities…
This paper considers linear quadratic team decision problems where the players in the team affect each other's information structure through their decisions. Whereas the stochastic version of the problem is well known to be complex with…
In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solution as an approximation of the value function, which turns…
In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions. One of the salient features of this paper is that conditional mean-field terms are…
This paper represents the first attempt to develop a theory for linear-quadratic mean field games in possibly infinite dimensional Hilbert spaces. As a starting point, we study the case, considered in most finite dimensional contributions…