Related papers: Linear-Quadratic Zero-Sum Stochastic Differential …
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…
This paper considers linear-quadratic (LQ) stochastic leader-follower Stackelberg differential games for jump-diffusion systems with random coefficients. We first solve the LQ problem of the follower using the stochastic maximum principle…
In this paper, we revisit the two-player continuous-time infinite-horizon linear quadratic differential game problem, where one of the players can sample the state of the system only intermittently due to a sensing constraint while the…
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…
This paper addresses the challenge of limited observations in non-cooperative multi-agent systems where agents can have partial access to other agents' actions. We present the generalized individual Q-learning dynamics that combine…
For the characterization of Feedback Nash Equilibria (FNE) in linear quadratic games, this paper provides a detailed analysis of the discrete-time discounted coupled best-response equations for the scalar two-player setting, together with a…
We consider stochastic differential games with $N$ nearly identical players, linear-Gaussian dynamics, and infinite horizon discounted quadratic cost. Admissible controls are feedbacks for which the system is ergodic. We first study the…
In [1], the distributed linear-quadratic problem with fixed communication topology (DFT-LQ) and the sparse feedback LQ problem (SF-LQ) are formulated into a nonsmooth and nonconvex optimization problem with affine constraints. Moreover, a…
This paper considers data-based solutions of linear-quadratic nonzero-sum differential games. Two cases are considered. First, the deterministic game is solved and Nash equilibrium strategies are obtained by using persistently excited data…
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both open-loop and closed-loop…
This article is dedicated to the study of mixed zero-sum two-player stochastic differential games in the situation when the player's cost functionals are modeled by doubly controlled reflected backward stochastic equations with two barriers…
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…
We study a class of linear-quadratic mean-field games with incomplete information. For each agent, the state is given by a linear forward stochastic differential equation with common noise. Moreover, both the state and control variables can…
This work investigates continuous time stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. The control processes are…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
This paper investigates a class of unified stochastic linear quadratic Gaussian (LQG) social optima problems involving a large number of weakly-coupled interactive agents under a {generalized} setting. For each individual agent, the control…
This paper is concerned with the stochastic linear quadratic Stackelberg differential game with overlapping information, where the diffusion terms contain the control and state variables. Here the term "overlapping" means that there are…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
In this paper we consider the filtering problem associated to partially observed McKean-Vlasov stochastic differential equations (SDEs). The model consists of data that are observed at regular and discrete times and the objective is to…
This paper studies social optima and Nash games for mean field linear quadratic control systems, where subsystems are coupled via dynamics and individual costs. For the social control problem, we first obtain a set of forward-backward…