Related papers: Controller-and-Stopper Stochastic Differential Gam…
In this article, we revisit a communication-control co-design problem for a class of two-player stochastic differential games on an infinite horizon. Each 'player' represents two active decision makers, namely a scheduler and a remote…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
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…
We consider multi-player stopping games in continuous time. Unlike Dynkin games, in our games the payoff of each player is revealed after all the players stop. Moreover, each player can adjust her own stopping strategy by observing other…
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…
Within the framework of viscosity solution, we study the relationship between the maximum principle (MP) in [9] and the dynamic programming principle (DPP) in [10] for a fully coupled forward-backward stochastic controlled system (FBSCS)…
We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…
In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions. One of the salient features of this paper is that conditional mean-field terms are…
This paper proposes and studies a general form of dynamic $N$-player non-cooperative games called $\alpha$-potential games, where the change of a player's value function upon her unilateral deviation from her strategy is equal to the change…
We develop here the Stochastic Perron Method in the framework of two-player zero-sum differential games. We consider the formulation of the game where both players play, symmetrically, feed-back strategies (as in [CR09] or [PZ12]) as…
Mean Field Games (MFG) theory describes strategic interactions in differential games with a large number of small and indistinguishable players. Traditionally, the players' control impacts only the drift term in the system's dynamics,…
This paper addresses the problem of steering a discrete-time linear dynamical system from an initial Gaussian distribution to a final distribution in a game-theoretic setting. One of the two players strives to minimize a quadratic payoff,…
This paper is concerned with a linear-quadratic partially observed Stackelberg stochastic differential game with correlated state and observation noises, where the diffusion coefficient does not contain the control variable and the control…
In this paper, we consider a sequential stochastic Stackelberg game with two players, a leader and a follower. The follower has access to the state of the system while the leader does not. Assuming that the players act in their respective…
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…
Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…
This investigation is dedicated to a two-player zero-sum stochastic differential game (SDG), where a cost function is characterized by a backward stochastic differential equation (BSDE) with a continuous and monotonic generator regarding…
We consider the problem of simultaneous learning in stochastic games with many players in the finite-horizon setting. While the typical target solution for a stochastic game is a Nash equilibrium, this is intractable with many players. We…
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…