Related papers: Time-Inconsistent Problems for Controlled Markov C…
In this paper we study infinite horizon nonzero-sum stochastic games for controlled discrete-time Markov chains on a Polish state space with risk-sensitive ergodic cost criterion. Under suitable assumptions we show that the associated…
This paper proves the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal fully-nonlinear parabolic systems, where the nonlocality stems…
We extend anytime constraints to the Markov game setting and the corresponding solution concept of an anytime-constrained equilibrium (ACE). Then, we present a comprehensive theory of anytime-constrained equilibria that includes (1) a…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We present the conditions under which the time-optimal control problem for a nonlinear non-autonomous linearizable system can be solved by the method of successive approximations, at each step of which a power Markov moment min-problem is…
We study causal optimal transport in continuous time, with Markovian cost, between a finite-state Markov source and a diffusion target. By replacing the source with its conditional law given the observation of the target, we characterize…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…
In this paper we study a time-inconsistent portfolio optimization problem for competitive agents with CARA utilities and non-exponential discounting. The utility of each agent depends on her own wealth and consumption as well as the…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
This paper investigates the synthesis of distributed economic control algorithms under which dynamically coupled physical systems are regulated to a variational equilibrium of a constrained convex game. We study two complementary cases: (i)…
This paper presents a novel distributed model predictive control (MPC) formulation without terminal cost and a corresponding distributed synthesis approach for distributed linear discrete-time systems with coupled constraints. The proposed…
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…
Computing the stationary distributions of a continuous-time Markov chain (CTMC) involves solving a set of linear equations. In most cases of interest, the number of equations is infinite or too large, and the equations cannot be solved…
In timeline-based planning, domains are described as sets of independent, but interacting, components, whose behaviour over time (the set of timelines) is governed by a set of temporal constraints. A distinguishing feature of timeline-based…
This paper is devoted to a Stackelberg stochastic differential game for a linear mean-field type stochastic differential system with a mean-field type quadratic cost functional in finite horizon. The coefficients in the state equation and…
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite time horizon. The used methodology is the one of…
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman…
This paper is concerned with an optimal stock selling rule under a Markov chain model. The objective is to find an optimal stopping time to sell the stock so as to maximize an expected return. Solutions to the associated variational…
This paper focuses on the invariance control problem for discrete-time switched nonlinear systems. The proposed approach computes controlled invariant sets in a finite number of iterations and directly yields a partition-based invariance…
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.…