Related papers: Zero-sum Stochastic Differential Games of Impulse …

This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a necessary maximum principle and sufficient…

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…

We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded. We prove the existence of the value of the game and a…

We propose a novel independent and payoff-based learning framework for stochastic games that is model-free, game-agnostic, and gradient-free. The learning dynamics follow a best-response-type actor-critic architecture, where agents update…

We investigate a two-player zero-sum stochastic differential game in which one of the players has more information on the game than his opponent. We show how to construct numerical schemes for the value function of this game, which is given…

The infinite horizon risk-sensitive discounted-cost and ergodic-cost nonzero-sum stochastic games for controlled Markov chains with countably many states are analyzed. For the discounted-cost game, we prove the existence of Nash equilibrium…

We consider zero-sum stochastic games with perfect information and finitely many states and actions. The payoff is computed by a function which associates to each infinite sequence of states and actions a real number. We prove that if the…

We study the ergodicity of deterministic two-person zero-sum differential games. This property is defined by the uniform convergence to a constant of either the infinite-horizon discounted value as the discount factor tends to zero, or…

In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…

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…

We consider zero sum stochastic games. For every discount factor $\lambda$, a time normalization allows to represent the game as being played on the interval [0, 1]. We introduce the trajectories of cumulated expected payoff and of…

We introduce a zero-sum game problem of mean-field type as an extension of the classical zero-sum Dynkin game problem to the case where the payoff processes might depend on the value of the game and its probability law. We establish…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…

This paper is an attempt to compute the value and saddle points of zero-sum risk-sensitive average stochastic games. For the average games with finite states and actions, we first introduce the so-called irreducibility coefficient and then…

We investigate a two-player zero-sum stochastic differential game problem with the state process being constrained in a connected bounded closed domain, and the cost functional described by the solution of a generalized backward stochastic…

We consider two-player zero-sum differential games (ZSDGs), where the state process (dynamical system) depends on the random initial condition and the state process's distribution, and the objective functional includes the state process's…

In stochastic games with stage duration h, players act at times 0, h, 2h, and so on. The payoff and leaving probabilities are proportional to h. As h approaches 0, such discrete-time games approximate games played in continuous time. The…

In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…

The principal aim of the present work is to explore limit theorems for small random perturbations of dynamical systems with periodic impulse effects, in the limit of vanishing noise intensity. We start with a system whose time evolution is…