Related papers: Non-zero-sum optimal stopping game with continuous…

In this article we consider zero and non-zero sum risk-sensitive average criterion games for semi-Markov processes with a finite state space. For the zero-sum case, under suitable assumptions we show that the game has a value. We also…

We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse…

We study the existence of optimal actions in a zero-sum game $\inf_{\tau}\sup_PE^P[X_{\tau}]$ between a stopper and a controller choosing a probability measure. This includes the optimal stopping problem $\inf_{\tau}\mathcal{E}(X_{\tau})$…

In this paper, we delve into the problem of using monetary incentives to encourage players to shift from an initial Nash equilibrium to a more favorable one within a game. Our main focus revolves around computing the minimum reward required…

This paper is concerned with a linear-quadratic non-zero sum differential game with asymmetric delayed information. To be specific, two players exist time delays simultaneously which are different, leading the dynamical system being an…

This paper studies a class of zero-sum stopping game in a regime switching model. A verification theorem as a sufficient criterion for Nash equilibriums is established based on a set of variational inequalities (VIs). Under an appropriate…

In a zero-sum stochastic game, at each stage, two adversary players take decisions and receive a stage payoff determined by them and by a controlled random variable representing the state of nature. The total payoff is the normalized…

We consider an autonomous navigation problem, whereby a traveler aims at traversing an environment in which an adversary tries to set an ambush. A two players zero sum game is introduced. Players' strategies are computed as random path…

We consider a continuous time stochastic dynamic game between a stopper (Player $1$, the \textit{owner} of an asset yielding an income) and a controller (Player $2$, the \textit{manager} of the asset), where the manager is either effective…

We are interested in the study of stochastic games for which each player faces an optimal stopping problem. In our setting, the players may interact through the criterion to optimise as well as through their dynamics. After briefly…

We give an example of a zero-sum stochastic game with four states, compact action sets for each player, and continuous payoff and transition functions, such that the discounted value does not converge as the discount factor tends to 0, and…

This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default…

We suggest a new algorithm for two-person zero-sum undiscounted stochastic games focusing on stationary strategies. Given a positive real $\epsilon$, let us call a stochastic game $\epsilon$-ergodic, if its values from any two initial…

In this paper, we propose a new efficient algorithm to compute the value function for zero-sum stopping games featuring two players with opposing interests. This can be seen as a game version of the ''forward algorithm'' for (one-player)…

This paper considers the discounted criterion of nonzero-sum decentralized stochastic games with prospect players. The state and action spaces are finite. The state transition probability is nonstationary. Each player independently controls…

We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game…

We consider a subclass of $n$-player stochastic games, in which players have their own internal state/action spaces while they are coupled through their payoff functions. It is assumed that players' internal chains are driven by independent…

Zero-sum Dynkin games under Poisson constraints, where players can only stop at the event times of a Poisson process, have been studied widely in the recent literature. The constraint can be modelled in two ways: either both players share…

We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we…

In this paper, a new method is proposed to compute the rolling Nash equilibrium of the time-invariant nonlinear two-person zero-sum differential games. The idea is to discretize the time to transform a differential game into a sequential…