Related papers: Constrained zero-sum LQ differential games for jum…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
This paper focuses on stochastic saddle point problems with decision-dependent distributions. These are problems whose objective is the expected value of a stochastic payoff function and whose data distribution drifts in response to…
This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747,…
Dynamic games can be an effective approach to modeling interactive behavior between multiple non-cooperative agents and they provide a theoretical framework for simultaneous prediction and control in such scenarios. In this work, we propose…
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic…
Zero sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics , we completely characterize…
We formulate a two-team linear quadratic stochas- tic dynamic game featuring two opposing teams each with decentralized information structures. We introduce the concept of mutual quadratic invariance (MQI), which, analogously to quadratic…
This paper is concerned with a leader-follower stochastic differential game with asymmetric information, where the information available to the follower is based on some sub-$\sigma$-algebra of that available to the leader. Such kind of…
We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for…
We formulate a new class of stochastic partial differential equations (SPDEs), named high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order integral-partial differential operators into both drift and diffusion…
In the paper, we consider the no-explosion condition and pathwise uniqueness for SDEs driven by a Poisson random measure with coefficients that are super-linear and non-Lipschitz. We give a comparison theorem in the one-dimensional case…
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 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…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
Stochastic differential equations (SDEs), which models uncertain phenomena as the time evolution of random variables, are exploited in various fields of natural and social sciences such as finance. Since SDEs rarely admit analytical…
In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework. Open-loop equilibrium controls and their particular…
We consider stochastic differential games with a large number of players, with the aim of quantifying the gap between closed-loop, open-loop and distributed equilibria. We show that, under two different semi-monotonicity conditions, the…
In this paper, we study the convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps, when the coefficients converge in some appropriate sense. Our main tools are the superposition…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
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…