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We consider a non-Markovian optimal stopping problem on finite horizon. We prove that the value process can be represented by means of a backward stochastic differential equation (BSDE), defined on an enlarged probability space, containing…

This paper studies a stochastic mean-field linear-quadratic Stackelberg differential game with random coefficients. The interaction between mean-field terms and random coefficients precludes the direct use of conventional decoupling…

For the stochastic differential equation (SDE) which has piecewise continuous arguments (PCAs), is driven by multiplicative noises and its drift coefficients are dissipative, we show that the solution at integer time is a Markov chain and…

We provide a unified approach to find equilibrium solutions for time-inconsistent problems with distribution dependent rewards, which are important to the study of behavioral finance and economics. Our approach is based on {\it equilibrium…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…

We study optimal stochastic control problem for non-Markovian stochastic differential equations (SDEs) where the drift, diffusion coefficients, and gain functionals are path-dependent, and importantly we do not make any ellipticity…

The classical mean-variance portfolio selection problem induces time-inconsistent (precommited) strategies (see Zhou and Li (2000)). To overcome this time-inconsistency, Basak and Chabakauri (2010) introduce the game theoretical approach…

In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…

This paper studies a new class of linear-quadratic mean field games and teams problem, where the large-population system satisfies a class of $N$ weakly coupled linear backward stochastic differential equations (BSDEs), and $z_i$ (a part of…

In this paper, we consider a discrete-time Stackelberg mean field game with a leader and an infinite number of followers. The leader and the followers each observe types privately that evolve as conditionally independent controlled Markov…

We study a two-player zero-sum stochastic differential game with asymmetric information where the payoff depends on a controlled continuous-time Markov chain X with finite state space which is only observed by player 1. This model was…

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 study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…

There has been significant recent interest in leader-follower security games, where the leader dominates the decision process with the Stackelberg equilibrium (SE) strategy. However, such a leader-follower scheme may become invalid in…

This paper investigates an inhomogeneous non-zero-sum linear-quadratic (LQ, for short) differential game problem whose state process and cost functional are regulated by a Markov chain. Under the $L^2$ stabilizability framework, we first…

In this article, we study a discounted stochastic game to model resource optimal intrusion detection in wireless sensor networks. To address the problem of uncertainties in various network parameters, we propose a globalized robust game…

Canonical models of Markov decision processes (MDPs) usually consider geometric discounting based on a constant discount factor. While this standard modeling approach has led to many elegant results, some recent studies indicate the…

We provide an algorithm to find the value and an optimal strategy of the solitaire variant of the Ten Thousand dice game in the framework of Markov Control Processes. Once an optimal critical threshold is found, the set of non-stopping…

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 present a new solution concept called evolutionarily stable Stackelberg equilibrium (SESS). We study the Stackelberg evolutionary game setting in which there is a single leading player and a symmetric population of followers. The leader…