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We study a zero-sum stochastic differential switching game in infinite horizon. We prove the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities…
The purpose of this article is to study a stochastic control problem on a junction, with control at the junction point. The problem of control is formulated in the weak sense, using a relaxed control, namely a control which takes values in…
In game theory, the concept of Nash equilibrium reflects the collective stability of some individual strategies chosen by selfish agents. The concept pertains to different classes of games, e.g. the sequential games, where the agents play…
One of the most classical games for stochastic processes is the zero-sum Dynkin (stopping) game. We present a complete equilibrium solution to a general formulation of this game with an underlying one-dimensional diffusion. A key result is…
Consider a set of agents who play a network game repeatedly. Agents may not know the network. They may even be unaware that they are interacting with other agents in a network. Possibly, they just understand that their payoffs depend on an…
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…
Static reduction of information structures (ISs) is a method that is commonly adopted in stochastic control, team theory, and game theory. One approach entails change of measure arguments, which has been crucial for stochastic analysis and…
We show that the value function of an optimal stopping game driven by a one-dimensional diffusion can be characterised using a modification of the Legendre transformation if and only if the optimal stopping game exhibits a Nash equilibrium…
This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the…
There are only limited classes of multi-player stochastic games in which independent learning is guaranteed to converge to a Nash equilibrium. Markov potential games are a key example of such classes. Prior work has outlined sets of…
Claude Shannon's zero-error communication paradigm reshaped our understanding of fault-tolerant information transfer. Here, we adapt this notion into game theory with incomplete information. We ask: can players with private information…
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 zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equation in which the distribution of both state and controls of…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
We introduce a novel extension to robust control theory that explicitly addresses uncertainty in the value function's gradient, a form of uncertainty endemic to applications like reinforcement learning where value functions are…
Zero-sum games are a fundamental setting for adversarial training and decision-making in multi-agent learning (MAL). Existing methods often ensure convergence to (approximate) Nash equilibria by introducing a form of regularization. Yet,…
In this paper we introduce the discontinuous universal feedback for the problem of Nash equilibrium in two person non-zero sum differential game. We assume that there exist functions satisfying some conditions analogous to the infinitesimal…
This work establishes sufficient conditions for existence of saddle points in discrete Markov games. The result reveals the relation between dynamic games and static games using dynamic programming equations. This result enables us to prove…
We generalize the results of Fleming and Souganidis (1989) on zero sum stochastic differential games to the case when the controls are unbounded. We do this by proving a dynamic programming principle using a covering argument instead of…
In this paper, a Nash-type fictitious game framework is introduced to handle a time-inconsistent linear-quadratic optimal control. The Nash-type game in this framework is called fictitious as it is between the decision maker (called real…