Related papers: A Linear Quadratic Stochastic Stackelberg Differen…
This paper introduces a linear state-space model with time-varying dynamics. The time dependency is obtained by forming the state dynamics matrix as a time-varying linear combination of a set of matrices. The time dependency of the weights…
Distributed decision-makers are modeled as players in a game with two levels. High level decisions concern the game environment and determine the willingness of the players to form a coalition (or group). Low level decisions involve the…
Systems with stochastic time delay between the input and output present a number of unique challenges. Time domain noise leads to irregular alignments, obfuscates relationships and attenuates inferred coefficients. To handle these…
We study a Stackelberg variant of the classical discrete-time Dynkin game, in which Player 1 (the leader) commits to a stopping strategy first and Player 2 (the follower) responds optimally. This leader-follower structure induces an optimal…
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The…
We study linear quadratic dynamic games where players are uncertain about each other's control policies or goals and consequently seek to be strategically robust. Building on recent work on strategically robust and risk-averse game theory,…
Understanding how time delays impact the stability of a delay differential equation is important for modeling many natural and technological systems that experience time delays. Here we introduce a new stability criterion for…
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random, and the weighting matrices in the cost functional are…
We consider the statistics of time delay in a chaotic cavity having $M$ open channels, in the absence of time-reversal invariance. In the random matrix theory approach, we compute the average value of polynomial functions of the time delay…
This paper studies a nonlinear open-loop mean field Stackelberg stochastic differential game by using the probabilistic method through the FBSDE system and the idea of taking control as the fixed point. We successively construct the…
We develop an approximate theoretical method to study discrete stochastic birth and death models that include a delay time. We analyze the effect of the delay in the fluctuations of the system and obtain that it can qualitatively alter…
Dynamical systems with complex delayed interactions arise commonly when propagation times are significant, yielding complicated oscillatory instabilities. In this Letter, we introduce a class of systems with multiple, hierarchically long…
We study self-triggered two-player stochastic games on Piecewise Deterministic Markov Processes (PDMPs) where each agent decides when to observe and which open-loop action to hold. Augmenting the state with clocks and committed controls…
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…
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of…
This paper studies the moment boundedness of solutions of linear stochastic delay differential equations with distributed delay. For a linear stochastic delay differential equation, the first moment stability is known to be identical to…
This paper investigates state feedback control laws for Markov jump linear systems with state and mode-observation delays. An assumption in this study is that the delay of mode observation obeys an exponential distribution. Also, we raise…
The data generated by long-delayed dynamical systems can be organized in patterns by means of the so-called spatio-temporal representation, uncovering the role of multiple time-scales as independent degrees of freedom. However, their…
In this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic…
Time delay is ubiquitous in many experimental and real-world situations. It is often unclear whether time delay plays a significant role in observed phenomena, and if it does, how long the time lag really is. This would be invaluable…