Related papers: On the Sn/n-Problem

In the paper it is proven that the two-players turn-based stochastic game "Risk or Safety" has a unique solution. Both players need to play the same strategy if they want to maximize their winning chances. An analytical method based on the…

We study a two-player zero-sum game in continuous time, where the payoff-a running cost-depends on a Brownian motion. This Brownian motion is observed in real time by one of the players. The other one observes only the actions of his…

We consider several variants of the classical Cops and Robbers game. We treat the version where the robber can move R > 1 edges at a time, establishing a general upper bound of N / \alpha ^{(1-o(1))\sqrt{log_\alpha N}}, where \alpha = 1 +…

We study the computational complexity of a perfect-information two-player game proposed by Aigner and Fromme. The game takes place on an undirected graph where n simultaneously moving cops attempt to capture a single robber, all moving at…

We solve optimal stopping problems for an oscillating Brownian motion, i.e. a diffusion with positive piecewise constant volatility changing at the point $x=0$. Let $\sigma_1$ and $\sigma_2$ denote the volatilities on the negative and…

The usual $n$-in-a-row game is a positional game in which two player alternately claim points in $\bb{Z}^2$ with the winner being the first player to claim $n$ consecutive points in a line. We consider a variant of the game, suggested by…

Cops and robbers is a pursuit-evasion game played on graphs. We completely classify the cop numbers for $n \times n$ knight graphs and queen graphs. This completes the classification of the cop numbers for all $n \times n$ classical chess…

You play the following game: you start out with $n$ coins that all have probability $p$ to land heads. You toss all of them and you then need to set aside at least one of them, which will not be tossed again. Now you repeat the process with…

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market;…

On a filtered probability space $(\Omega ,\mathcal{F}, (\mathcal{F}_t)_{t\in[0,\infty]}, \mathbb{P})$, we consider the two-player non-zero-sum stopping game $u^i := \mathbb{E}[U^i(\rho,\tau)],\ i=1,2$, where the first player choose a…

In 2002, Benjamin Jourdain and Claude Martini discovered that for a class of payoff functions, the pricing problem for American options can be reduced to pricing of European options for an appropriately associated payoff, all within a…

Sprouts is a two-player pencil-and-paper game invented by John Conway and Michael Paterson in 1967. In the game, the players take turns in joining dots by curves according to simple rules, until one player cannot make a move. The game of…

In the paper we consider the controlled continuous-time Markov chain describing the interacting particles system with the finite number of types. The system is controlled by two players with the opposite purposes. The limiting game as the…

In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their…

In this paper we study the N-player nonzero-sum Dynkin game ($N\geq 3$) in continuous time, which is a non-cooperative game where the strategies are stopping times. We show that the game has a Nash equilibrium point for general payoff…

Turn-based discounted-sum games are two-player zero-sum games played on finite directed graphs. The vertices of the graph are partitioned between player 1 and player 2. Plays are infinite walks on the graph where the next vertex is decided…

Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of the reward and considering its Riesz representation, we give…

Given a set of $n$ integer-valued coin types and a target value $t$, the well-known change-making problem asks for the minimum number of coins that sum to $t$, assuming an unlimited number of coins in each type. In the more general…

In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…

We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…