Related papers: Local time pushed mixed stopping and smooth fit fo…
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we derive sufficient conditions for achieving the Nash equilibrium,…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
This paper considers a distributed convex optimization problem with inequality constraints over time-varying unbalanced digraphs, where the cost function is a sum of local objectives, and each node of the graph only knows its local…
Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…
In this paper, we consider a matroid generalization of the stable matching problem. In particular, we consider the setting where preferences may contain ties. For this generalization, we propose a polynomial-time algorithm for the problem…
The final goal of this paper is to prove existence of local (strong) solutions to a (fully nonlinear) porous medium equation with blow-up term and nondecreasing constraint. To this end, the equation, arising in the context of Damage…
In this paper we study a time-inconsistent portfolio optimization problem for competitive agents with CARA utilities and non-exponential discounting. The utility of each agent depends on her own wealth and consumption as well as the…
We consider the basic problem of approximating Nash equilibria in noncooperative games. For monotone games, we design continuous time flows which converge in an averaged sense to Nash equilibria. We also study mean field equilibria, which…
In this paper, a novel modified proximal dynamical system is proposed to compute the solution of a mixed variational inequality problem (MVIP) within a fixed time, where the time of convergence is finite and is uniformly bounded for all…
This paper is concerned with the open-loop time-consistent solution of time-inconsistent mean-field stochastic linear-quadratic optimal control. Different from standard stochastic linear-quadratic problems, both the system matrices and the…
In this work, we study the distributed Nash equilibrium seeking problem for monotone generalized noncooperative games with set constraints and shared affine inequality constraints. A distributed regularized penalty method is proposed. The…
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…
We study the existence of mixed-strategy equilibria in concurrent games played on graphs. While existence is guaranteed with safety objectives for each player, Nash equilibria need not exist when players are given arbitrary terminal-reward…
We prove the existence of weak solutions of It\^o's stochastic time dependent equations with irregular diffusion and drift terms of Morrey spaces. Weak uniqueness (generally conditional) and a conjecture pertaining to strong solutions are…
In stochastic volatility models based on time-homogeneous diffusions, we provide a simple necessary and sufficient condition for the discretely sampled fair strike of a variance swap to converge to the continuously sampled fair strike. It…
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when…