Related papers: A Zero-Sum Differential Game with Exit Time
In this paper we study the N-player nonzero-sum Dynkin game ($N\geq 3$) in continuous time, which is a non-cooperative game where the strategies are stopping times. We show that the game has a Nash equilibrium point for general payoff…
In this paper we consider a Target-guarding differential game where the Defender must protect a linearly moving line segment by intercepting the Attacker who tries to reach it. In contrast to common Target-guarding problems, we assume that…
This paper is concerned with a linear-quadratic non-zero sum differential game with asymmetric delayed information. To be specific, two players exist time delays simultaneously which are different, leading the dynamical system being an…
A basic question for zero-sum repeated games consists in determining whether the mean payoff per time unit is independent of the initial state. In the special case of "zero-player" games, i.e., of Markov chains equipped with additive…
Unlike Poker where the action space $\mathcal{A}$ is discrete, differential games in the physical world often have continuous action spaces not amenable to discrete abstraction, rendering no-regret algorithms with…
We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs…
We consider a class of zero-sum stopper vs. singular-controller games in which the controller can only act on a subset $d_0<d$ of the $d$ coordinates of a controlled diffusion. Due to the constraint on the control directions these games…
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a…
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game with constant coefficients in an infinite time horizon. Open-loop and closed-loop saddle points are introduced. The existence of closed-loop…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
This paper studies the mixed zero-sum stochastic differential game problem. We allow the functionals and dynamics to be of polynomial growth. The problem is formulated as an extended doubly reflected BSDEs with a specific generator. We show…
In this study, we consider a multi-pursuer single-evader quantitative pursuit-evasion game with payoff function that includes only the terminal cost. The terminal cost is a function related only to the terminal position of the evader. This…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function…
The paper studies a system of Hamilton-Jacobi equations, arising from a stochastic optimal debt management problem in an infinite time horizon with exponential discount, modeled as a noncooperative interaction between a borrower and a pool…
We consider a free boundary problem for the heat equation with a given non-negative external heat source. On the free boundary, we impose the zero Dirichlet condition and the fixed normal derivative so that heat escapes from the boundary.…
We consider a class of exit time stochastic control problems for diffusion processes with discounted criterion, where the controller can utilize a given amount of resource, called "fuel". In contrast to the vast majority of existing…
We study a generalisation of B\"uchi-Landweber games to the timed setting. The winning condition is specified by a non-deterministic timed automaton with epsilon transitions and only Player I can elapse time. We show that for fixed number…
In the first part of this paper, we derive an infinite dimensional partial differential equation which describes an economic equilibrium in a model of storage which includes an infinite number of non-atomic agents. This equation has the…