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We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary…
Consider a discrete-time martingale, and let $V^2$ be its normalized quadratic variation. As $V^2$ approaches 1, and provided that some Lindeberg condition is satisfied, the distribution of the rescaled martingale approaches the Gaussian…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing lotteries. We formulate an optimization…
Both single-player Parrondo games (SPPG) and multi-player Parrondo games (MPPG) display the Parrondo Effect (PE) wherein two or more individually fair (or Llosing) games yield a net winning outcome if alternated periodically or randomly.…
From the perspective of expectations of randomly stopped sums, Wald's equation and the Optional Sampling Theorem identify situations in which the stopping time can be decoupled from the stopping place, acting as if the two were independent.…
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
We consider two-player combinatorial games in which the graph of positions is random and perhaps infinite, focusing on directed Galton-Watson trees. As the offspring distribution is varied, a game can undergo a phase transition, in which…
In an incomplete model, where under an appropriate num\'eraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utility maximization problem under small perturbations of the…
We consider infinite-state turn-based stochastic games of two players, Box and Diamond, who aim at maximizing and minimizing the expected total reward accumulated along a run, respectively. Since the total accumulated reward is unbounded,…
We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which…
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…
In this paper we consider two-person zero-sum risk-sensitive stochastic dynamic games with Borel state and action spaces and bounded reward. The term risk-sensitive refers to the fact that instead of the usual risk neutral optimization…
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…
The paper considers a forward-backward system of parabolic PDEs arising in a Mean Field Game (MFG) model where every agent controls the drift of a trajectory subject to Brownian diffusion, trying to escape a given bounded domain $\Omega$ in…
Toral (2002) considered an ensemble of N\geq2 players. In game B a player is randomly selected to play Parrondo's original capital-dependent game. In game A' two players are randomly selected without replacement, and the first transfers one…
Game-theoretic upper expectations are joint (global) probability models that mathematically describe the behaviour of uncertain processes in terms of supermartingales; capital processes corresponding to available betting strategies.…
This work is concerned with the rating of players/teams in face-to-face games with three possible outcomes: loss, win, and draw. This is one of the fundamental problems in sport analytics, where the very simple and popular, non-trivial…
When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer…