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We develop and implement new probabilistic strategy for proving exponential ergodicity for interacting diffusion processes on unbounded lattice. The concept of the solution used is rather weak as we construct the process in infinite…
We study a Stackelberg variant of the classical discrete-time Dynkin game, in which Player 1 (the leader) commits to a stopping strategy first and Player 2 (the follower) responds optimally. This leader-follower structure induces an optimal…
Entropic risk (ERisk) is an established risk measure in finance, quantifying risk by an exponential re-weighting of rewards. We study ERisk for the first time in the context of turn-based stochastic games with the total reward objective.…
Principal-agent problems arise when one party acts on behalf of another, leading to conflicts of interest. The economic literature has extensively studied principal-agent problems, and recent work has extended this to more complex scenarios…
We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…
We develop and implement new probabilistic strategy for proving basic results about long time behaviour for interacting diffusion processes on unbounded lattice. The concept of the solution used is rather weak as we construct the process as…
Let $\mathbb{\hat{E}}$ be the upper expectation of a weakly compact but non-dominated family $\mathcal{P}$ of probability measures. Assume that $Y$ is a $d$-dimensional $\mathcal{P}$-semimartingale under $\mathbb{\hat{E}}$. Given an open…
In several standard models of dynamic programming (gambling houses, MDPs, POMDPs), we prove the existence of a very robust notion of value for the infinitely repeated problem, namely the pathwise uniform value. This solves two open…
We focus on a class of BSDEs driven by a cadlag martingale and corresponding Markov type BSDE which arise when the randomness of the driver appears through a Markov process. To those BSDEs we associate a deterministic problem which, when…
Quantitative extensions of parity games have recently attracted significant interest. These extensions include parity games with energy and payoff conditions as well as finitary parity games and their generalization to parity games with…
In two-player games on graphs, the players move a token through a graph to produce an infinite path, which determines the winner of the game. Such games are central in formal methods since they model the interaction between a…
A new technique for proving uniqueness of martingale problems is introduced. The method is illustrated in the context of elliptic diffusions in $R^d$.
In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…
We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic of our game is an absorption constraint on the players'…
The goal of this paper is to prove a result conjectured in F\"ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular…
In this paper, we introduce a non-linear Snell envelope which at each time represents the maximal value that can be achieved by stopping a BSDE with constrained jumps. We establish the existence of the Snell envelope by employing a…
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,…
We consider optimal control of a stochastic network,where service is controlled to prevent buffer overflow. We use a risk-sensitive escape time criterion, which in comparison to the ordinary escape time criteria heavily penalizes exits…
This work investigates the online machine learning problem of prediction with expert advice in an adversarial setting through numerical analysis of, and experiments with, a related partial differential equation. The problem is a repeated…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…