Related papers: A Verification Theorem for Stackelberg Stochastic …

In this study, we employ the established Carleman estimates and propagation estimates of smallness from measurable sets for real analytic functions, along with the telescoping series method, to establish an observability inequality for the…

In this paper, we analyze linear-quadratic stochastic differential games with a continuum of players interacting through graphon aggregates, each state being subject to idiosyncratic Brownian shocks. The major technical issue is the joint…

This paper presents a novel approach to numerically solve stochastic differential games for nonlinear systems. The proposed approach relies on the nonlinear Feynman-Kac theorem that establishes a connection between parabolic deterministic…

In this paper, detectability is first put forward for discrete-time Markov jump linear systems with the Markov chain on a Borel space ($\Theta$, $\mathcal{B}(\Theta)$). Under the assumption that the unforced system is detectable, a…

We study a two-player nonzero-sum stochastic differential game where one player controls the state variable via additive impulses while the other player can stop the game at any time. The main goal of this work is characterize Nash…

Due to the large size of the training data, distributed learning approaches such as federated learning have gained attention recently. However, the convergence rate of distributed learning suffers from heterogeneous worker performance. In…

Strategic information disclosure, in its simplest form, considers a game between an information provider (sender) who has access to some private information that an information receiver is interested in. While the receiver takes an action…

H\"older stability estimate and uniqueness are proven for a retrospective problem of Mean Field Games with a non-quadratic Hamiltonian. The previous result was only for the quadratic Hamiltonian. The main tool is the apparatus of Carleman…

This paper provides necessary and sufficient conditions for a pair of randomised stopping times to form a saddle point of a zero-sum Dynkin game with partial and/or asymmetric information across players. The framework is non-Markovian and…

In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…

We present a new tool for the study of multiplayer stochastic games, namely the modified game, which is a normal-form game that depends on the discount factor, the initial state, and for every player a partition of the set of states and a…

Towards characterizing the optimization landscape of games, this paper analyzes the stability of gradient-based dynamics near fixed points of two-player continuous games. We introduce the quadratic numerical range as a method to…

We study finite-player dynamic stochastic games with heterogeneous interactions and non-Markovian linear-quadratic objective functionals. We derive the Nash equilibrium explicitly by converting the first-order conditions into a coupled…

This paper is concerned with a stochastic linear-quadratic leader-follower differential game with elephant memory. The model is general in that the state equation for both the leader and the follower includes the elephant memory of the…

Control problems not admitting the dynamic programming principle are known as time-inconsistent. The game-theoretic approach is to interpret such problems as intrapersonal dynamic games and look for subgame perfect Nash equilibria. A…

In this paper, we investigate distributionally robust model order reduction for linear, discrete-time, time-invariant systems. The external input is assumed to follow an uncertain distribution within a Wasserstein ambiguity set. We begin by…

In this paper we formulate and solve a mean-field game described by a linear stochastic dynamics and a quadratic or exponential-quadratic cost functional for each generic player. The optimal strategies for the players are given explicitly…

This paper considers dynamic (multi-stage) signaling games involving an encoder and a decoder who have subjective models on the cost functions. We consider both Nash (simultaneous-move) and Stackelberg (leader-follower) equilibria of…

Designing socially optimal policies in multi-agent environments is a fundamental challenge in both economics and artificial intelligence. This paper studies a general framework for learning Stackelberg equilibria in dynamic and uncertain…

We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…