Related papers: Differential Games for a Mixed ODE-PDE System
This paper considers the problem of two-player zero-sum stochastic differential game with both players adopting impulse controls in finite horizon under rather weak assumptions on the cost functions ($c$ and $\chi$ not decreasing in time).…
We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority…
This paper focuses on zero-sum stochastic differential games in the framework of forward-backward stochastic differential equations on a finite time horizon with both players adopting impulse controls. By means of BSDE methods, in…
A zero-sum differential game with controlled jump-diffusion driven state is considered, and studied using a combination of dynamic programming and viscosity solution techniques. We prove, under certain conditions, that the value of the game…
We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our…
We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…
In this paper, we investigate the existence and characterization of the value for a two-player zero-sum differential game with symmetric incomplete information on a continuum of initial positions and with signal revelation. Before the game…
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…
A two-person zero-sum infinite dimensional differential game of infinite duration with discounted payoff involving hybrid controls is studied. The minimizing player is allowed to take continuous, switching and impulse controls whereas the…
We consider a two-player zero-sum deterministic differential game where each player uses both continuous and impulse controls in infinite-time horizon. We assume that the impulses supposed to be of general term and the costs depend on the…
In this paper we consider an infinite horizon zero-sum differential game where the dynamics of each player and the running cost are also depending on the evolution of some discrete (switching) variables. In particular, such switching…
In the present paper we investigate the problem of the existence of a value for differential games without Isaacs condition. For this we introduce a suitable concept of mixed strategies along a partition of the time interval, which are…
We investigate a two-player zero-sum differential game with asymmetric information on the payoff and without Isaacs condition. The dynamics is an ordinary differential equation parametrised by two controls chosen by the players. Each player…
The paper deals with a zero-sum differential game in which the dynamical system is described by a fractional differential equation with the Caputo derivative of an order $\alpha \in (0, 1).$ The goal of the first (second) player is to…
We study a class of zero-sum games between a singular-controller and a stopper over finite-time horizon. The underlying process is a multi-dimensional (locally non-degenerate) controlled stochastic differential equation (SDE) evolving in an…
We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We prove that the value function of this game is solution of an…
We consider a zero sum differential game with lack of observation on one side. The initial state of the system is drawn at random according to some probability $\mu_0$ on $\R^N$. Player-I is informed of the initial position of state while…
In this paper we investigate two-player zero-sum stochastic differential games with an ergodic payoff, in which the diffusion coefficient does not need to be non-degenerate. We first establish the existence of a viscosity solution to the…
We consider zero-sum stochastic differential games with possibly path-dependent controlled state. Unlike the previous literature, we allow for weak solutions of the state equation so that the players' controls are automatically of feedback…
We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation of the game turns out to be a…