Related papers: A controller-stopper-game with hidden controller t…

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…

A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process of the max-player is assumed to be smaller than the payoff…

We introduce and study incentive equilibria for multi-player meanpayoff games. Incentive equilibria generalise well-studied solution concepts such as Nash equilibria and leader equilibria (also known as Stackelberg equilibria). Recall that…

Recent extensions to dynamic games of the well-known fictitious play learning procedure in static games were proved to globally converge to stationary Nash equilibria in two important classes of dynamic games (zero-sum and…

In this study, we investigate $N$-player stochastic differential games with regime switching, where the player dynamics are modulated by a finite-state Markov chain. We analyze the associated Nash system, which consists of a system of…

We provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem with target constraints. More precisely, we consider a…

This paper investigates inventory management in a multi channel distribution system consisting of one manufacturer and an arbitrary number of retailers that face stochastic demand. Existence of the pure Nash equilibrium is proved and…

We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…

We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short…

In the present work, we consider 2-person zero-sum stochastic differential games with a nonlinear pay-off functional which is defined through a backward stochastic differential equation. Our main objective is to study for such a game the…

We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…

A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense…

We study repeated games where players use an exponential learning scheme in order to adapt to an ever-changing environment. If the game's payoffs are subject to random perturbations, this scheme leads to a new stochastic version of the…

In this paper we consider non zero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of Ergodic BSDEs, and prove the existence of a…

In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…

In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solution as an approximation of the value function, which turns…

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…

We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…

We discuss the long-run behavior of stochastic dynamics of many interacting players in spatial evolutionary games. In particular, we investigate the effect of the number of players and the noise level on the stochastic stability of Nash…

We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…