Related papers: Risk-sensitive Dynkin games with heterogeneous Poi…

We analyze a nonlinear discrete-time Cournot duopoly game, where players have heterogeneous expectations. Two types of players are considered: boundedly rational and naive expectations. In this study we show that the dynamics of the duopoly…

In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…

Game theory is the standard tool used to model strategic interactions in evolutionary biology and social science. Traditional game theory studies the equilibria of simple games. But is traditional game theory applicable if the game is…

We formulate a new class of two-person zero-sum differential games, in a stochastic setting, where a specification on a target terminal state distribution is imposed on the players. We address such added specification by introducing…

In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…

By designing the decentralized time-regularized (Zeno-free) event-triggered strategies for the state-feedback control law, this paper considers the stochastic stabilization of a class of networked control systems, where two sources of…

Markov games with coupling constraints model constrained dynamical decision-making involving self-interested agents, where the feasibility of an individual agent's strategy depends on the joint strategies of the others. Such games arise in…

This paper investigates stochastic generalized dynamic games with coupling chance constraints, where agents have incomplete information about uncertainties satisfying a concentration of measure property. This problem, in general, is…

We study stochastic differential games of jump diffusions, where the players have access to inside information. Our approach is based on anticipative stochastic calculus, white noise, Hida-Malliavin calculus, forward integrals and the…

This work establishes sufficient conditions for existence of saddle points in discrete Markov games. The result reveals the relation between dynamic games and static games using dynamic programming equations. This result enables us to prove…

This paper considers a hybrid pollution-control differential game with two farsighted players and one myopic player. Both the seasonal regime shifts in the state dynamics and the players' heterogeneous preferences are introduced into the…

In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…

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…

We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two continuous-time Markov chains (X, Y), where X is only observed by player 1 and Y only by player 2, implying that…

The paper introduces a new approach to theory of differential games in which entangled players try to predict and influence actions of their adversaries. The entanglement is generated be a joint probability density known by the players.…

In this work, we consider the problem of autonomous racing with multiple agents where agents must interact closely and influence each other to compete. We model interactions among agents through a game-theoretical framework and propose an…

In this article, we prove that a small random perturbation of dynamical system with multiple stable equilibria converges to a Markov chain whose states are neighborhoods of the deepest stable equilibria, under a suitable time-rescaling,…

We study strategic interaction in data-driven games where players face uncertainty about payoff distributions inferred from finite samples. To model calibrated attitudes toward such uncertainty, we formulate distributionally robust games…

The aim of this paper is to establish the existence and uniqueness of the solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our system is Markovian in the sense…

We study nonzero-sum stochastic games for continuous time Markov chains on a denumerable state space with risk sensitive discounted and ergodic cost criteria. For the discounted cost criterion we first show that the corresponding system of…