Related papers: Zero-Sum Stackelberg Stochastic Linear-Quadratic D…
In this paper we propose a numerical method to obtain an approximation of Nash equilibria for multi-player non-cooperative games with a special structure. We consider the infinite horizon problem in a case which leads to a system of…
This paper is concerned with a stochastic linear-quadratic optimal control problem of Markovian regime switching system with model uncertainty and partial information, where the information available to the control is based on a…
This paper presents the concepts of exact, null, and approximate controllability in the Stackelberg-Nash sense for abstract forward and backward stochastic evolution equations, involving two types of controls: leaders and followers. We…
We study a class of linear-quadratic mean-field games with incomplete information. For each agent, the state is given by a linear forward stochastic differential equation with common noise. Moreover, both the state and control variables can…
In this paper, we study a class of linear-quadratic (LQ) mean-field games in which the individual control process is constrained in a closed convex subset $\Gamma$ of full space $\mathbb{R}^m$. The decentralized strategies and consistency…
Stackelberg equilibrium is a solution concept that describes optimal strategies to commit: Player 1 (the leader) first commits to a strategy that is publicly announced, then Player 2 (the follower) plays a best response to the leader's…
This paper is concerned with a new type of differential game problems of forwardbackward stochastic systems. There are three distinguishing features: Firstly, our game systems are forward-backward doubly stochastic differential equations,…
We study Stackelberg equilibria in finitely repeated games, where the leader commits to a strategy that picks actions in each round and can be adaptive to the history of play (i.e. they commit to an algorithm). In particular, we study…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
This paper studies a linear-quadratic mean-field game of stochastic large-population system, where the large-population system satisfies a class of $N$ weakly coupled linear backward stochastic differential equation. Different from the…
We consider stochastic differential games with $N$ players, linear-Gaussian dynamics in arbitrary state-space dimension, and long-time-average cost with quadratic running cost. Admissible controls are feedbacks for which the system is…
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment. Different from [17], the cost functionals do not have…
This paper studies a class of dynamic Stackelberg games under open-loop information structure with constrained linear agent dynamics and quadratic utility functions. We show two important properties for this class of dynamic Stackelberg…
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both open-loop and closed-loop…
For any two-by-two game $\G$, we define a new two-player game $\G^Q$. The definition is motivated by a vision of players in game $\G$ communicating via quantum technology according to a certain standard protocol originally introduced by…
Recently it has been found that for a stochastic linear-quadratic optimal control problem (LQ problem, for short) in a finite horizon, open-loop solvability is strictly weaker than closed-loop solvability which is equivalent to the regular…
This contribution deals with a two-level discrete decision problem, a so-called Stackelberg strategic game: A Subset Sum setting is addressed with a set $N$ of items with given integer weights. One distinguished player, the leader, may…
Stackelberg equilibria have become increasingly important as a solution concept in computational game theory, largely inspired by practical problems such as security settings. In practice, however, there is typically uncertainty regarding…
In this paper, the solvability of discrete-time stochastic linear-quadratic (LQ) optimal control problem in finite horizon is considered. Firstly, it shows that the closed-loop solvability for the LQ control problem is optimal if and only…
We identify structural assumptions which provide solvability of the Nash system arising from a linear-quadratic closed-loop game, with stable properties with respect to the number of players. In a setting of interactions governed by a…