Related papers: Variational inequalities on unbounded domains for …
In a mean field game of controls, a large population of identical players seek to minimize a cost that depends on the joint distribution of the states of the players and their controls. We first consider the classes of mean field games of…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We consider the general model of zero-sum repeated games (or stochastic games with signals), and assume that one of the players is fully informed and controls the transitions of the state variable. We prove the existence of the uniform…
We provide a deterministic-control-based interpretation for a broad class of fully nonlinear parabolic and elliptic PDEs with continuous Neumann boundary conditions in a smooth domain. We construct families of two-person games depending on…
We consider time-homogeneous uniformly nondegenerate stochastic differential games in domains and propose constructing $\varepsilon$-optimal strategies and policies by using adjoint Markov strategies and adjoint Markov policies which are…
This paper considers two-player zero-sum finite-horizon Markov games with simultaneous moves. The study focuses on the challenging settings where the value function or the model is parameterized by general function classes. Provably…
We consider a surveillance-evasion game in an environment with obstacles. In such an environment, a mobile pursuer seeks to maintain the visibility with a mobile evader, who tries to get occluded from the pursuer in the shortest time…
The mean field games system is a coupled pair of nonlinear partial differential equations arising in differential game theory, as a limit as the number of agents tends to infinity. We prove existence and uniqueness of classical solutions…
This paper proposes a game-theoretic approach to address the problem of optimal sensor placement against an adversary in uncertain networked control systems. The problem is formulated as a zero-sum game with two players, namely a malicious…
We study Dynkin games governed by a nonlinear $\mathbb E^f$-expectation on a finite interval $[0,T]$, with payoff c\`adl\`ag processes $L,U$ of class (D) which are not imposed to satisfy (weak) Mokobodzki's condition - the existence of a…
Tracking the solution of time-varying variational inequalities is an important problem with applications in game theory, optimization, and machine learning. Existing work considers time-varying games or time-varying optimization problems.…
The Hamilton-Jacobi-Bellman equation (HJB) associated with the time inhomogeneous singular control problem is a parabolic partial differential equation, and the existence of a classical solution is usually difficult to prove. In this paper,…
This paper investigates a two-person non-homogeneous linear-quadratic stochastic differential game (LQ-SDG, for short) in an infinite horizon for a system regulated by a time-invariant Markov chain. Both non-zero-sum and zero-sum LQ-SDG…
We study the infinite horizon discrete time N-player nonzero-sum Dynkin game ($N \geq 2$) with stopping times as strategies (or pure strategies). We prove existence of an $\varepsilon$-Nash equilibrium point for the game by presenting a…
In this paper it is considered a class of infinite-dimensional control systems in a variational setting. By using a Faedo-Galerkin method, a sequence of approximating finite dimensional controlled differential equations is defined. On each…
The purpose of this paper is three-fold. Firstly we attack a nonlinear interface problem on an unbounded domain with nonmonotone set-valued transmission conditions. The investigated problem involves a nonlinear monotone partial differential…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
We investigate zero-sum turn-based two-player stochastic games in which the objective of one player is to maximize the amount of rewards obtained during a play, while the other aims at minimizing it. We focus on games in which the minimizer…
Zero-determinant strategies are a class of strategies in repeated games which unilaterally control payoffs. Zero-determinant strategies have attracted much attention in studies of social dilemma, particularly in the context of evolution of…
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…