Related papers: A constructive approach to existence of equilibria…

This paper considers a class of reinforcement-based learning (namely, perturbed learning automata) and provides a stochastic-stability analysis in repeatedly-played, positive-utility, finite strategic-form games. Prior work in this class of…

We develop an approach for two player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes. We provide the relations between a usual stochastic optimal…

In this paper, we focus on a class of time-inconsistent stochastic control problems, where the objective function includes the mean and several higher-order central moments of the terminal value of state. To tackle the time-inconsistency,…

In this note, we extend some recent results on systems of backward stochastic differential equations (BSDEs) with quadratic growth to the case of coupled forward-backward stochastic differential equations (FBSDEs). We work in a Markovian…

This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time.…

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 characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…

The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…

We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…

In this paper we study zero-sum two-player stochastic differential games with the help of theory of Backward Stochastic Differential Equations (BSDEs). At the one hand we generalize the results of the pioneer work of Fleming and Souganidis…

This paper studies the limits of empirical means of open-loop Nash equilibria of linear-quadratic stochastic differential games as the number of players goes to infinity, when the corresponding mean field game is of potential type and may…

In this paper we investigate possible approaches to study general time-inconsistent optimization problems without assuming the existence of optimal strategy. This leads immediately to the need to refine the concept of time-consistency as…

We study infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled continuous time Markov chains on a countable state space. For the discounted-cost game we prove the existence of value and…

We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show…

We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…

Leveraging tools from the study of linear fractional transformations and algebraic Riccati equations, a local characterization of consistent conjectural variations equilibrium is given for two player games on continuous action spaces with…

In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

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 this paper, we examine the stationary relaxed singular control problem within a multi-dimensional framework for a single agent, as well as its mean field game equivalent. We demonstrate that optimal relaxed controls exist for two problem…