Related papers: Dynkin Games for L\'evy Processes
We consider deterministic mean field games in which the agents control their acceleration and are constrained to remain in a domain of R n. We study relaxed equilibria in the Lagrangian setting; they are described by a probability measure…
Our ability to know when to trust the decisions made by machine learning systems has not kept up with the staggering improvements in their performance, limiting their applicability in high-stakes domains. We introduce Prover-Verifier Games…
This paper considers a time-inconsistent stopping problem in which the inconsistency arises from non-constant time preference rates. We show that the smooth pasting principle, the main approach that has been used to construct explicit…
A new class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is proposed and examined. Our games cover as a very special case the classic two-person…
Two-player graph games have found numerous applications, most notably in the synthesis of reactive systems from temporal specifications, but also in verification. The relevance of infinite-state systems in these areas has lead to…
In this paper we study a type of games regularized by the relative entropy, where the players' strategies are coupled through a random environment variable. Besides the existence and the uniqueness of equilibria of such games, we prove that…
In this paper, we consider a partial information two-person zero-sum stochastic differential game problem where the system is governed by a backward stochastic differential equation driven by Teugels martingales associated with a L\'{e}vy…
The optimal stopping problem for a Hunt processes on $\R$ is considered via the representation theory of excessive functions. In particular, we focus on infinite horizon (or perpetual) problems with one-sided structure, that is, there…
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…
We provide short and simple proofs of the continuous time ballot theorem for processes with cyclically interchangeable increments and Kendall's identity for spectrally positive L\'evy processes. We obtain the later result as a direct…
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale…
This paper is devoted to finite horizon deterministic mean field games in which the state space is a network. The agents control their velocity, and when they occupy a vertex, they can enter into any incident edge. The running and terminal…
Simple games cover voting systems in which a single alternative, such as a bill or an amendment, is pitted against the status quo. A simple game or a yes-no voting system is a set of rules that specifies exactly which collections of ``yea''…
In this paper, we provide an effective characterization of all the subgame-perfect equilibria in infinite duration games played on finite graphs with mean-payoff objectives. To this end, we introduce the notion of requirement, and the…
This paper investigates value function approximation in the context of zero-sum Markov games, which can be viewed as a generalization of the Markov decision process (MDP) framework to the two-agent case. We generalize error bounds from MDPs…
An elementary and rigorous justification of Dynkin's identity with an extended infinitesimal operator based on the idea of a complete probability formula is given for queueing systems with a single server and discontinuous intensities of…
We study a random walk on a point process given by an ordered array of points $(\omega_k, \, k \in \mathbb{Z})$ on the real line. The distances $\omega_{k+1} - \omega_k$ are i.i.d. random variables in the domain of attraction of a…
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…
We investigate several fundamental properties of kinetic Langevin processes in $\mathbb{R}^{2d}$, defined as solutions to the following system: $$dx\_t = v\_t \, dt, \qquad dv\_t = \mathbf{B}(x\_t, v\_t) \, dt + dL\_t$$ where $(L\_t, t \ge…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…