Related papers: Nonzero-Sum Stochastic Differential Games for Cont…
With the blasting increase of wireless data traffic, incumbent wireless service providers (WSPs) face critical challenges in provisioning spectrum resource. Given the permission of unlicensed access to TV white spaces, WSPs can alleviate…
This paper investigates the two-person zero-sum stochastic games for piece-wise deterministic Markov decision processes with risk-sensitive finite-horizon cost criterion on a general state space. Here, the transition and cost/reward rates…
This paper designs a distributed stochastic annealing algorithm for non-convex cooperative aggregative games, whose agents' cost functions not only depend on agents' own decision variables but also rely on the sum of agents' decision…
We investigate stochastic utility maximization games under relative performance concerns in both finite-agent and infinite-agent (graphon) settings. An incomplete market model is considered where agents with power (CRRA) utility functions…
In this paper, we analyze mean-field game modulated by finite states markov chains. We first develop a sufficient stochastic maximum principle for the optimal control of a Markov-modulated stochastic differential equation (SDE) of…
The distributed computation of equilibria and optima has seen growing interest in a broad collection of networked problems. We consider the computation of equilibria of convex stochastic Nash games characterized by a possibly nonconvex…
We consider a class of hierarchical noncooperative $N$-player games where the $i$th player solves a parametrized stochastic mathematical program with equilibrium constraints (MPEC) with the caveat that the implicit form of the $i$th…
In this paper we study infinite horizon nonzero-sum stochastic games for controlled discrete-time Markov chains on a Polish state space with risk-sensitive ergodic cost criterion. Under suitable assumptions we show that the associated…
In this paper, we establish a zero-sum, hybrid state stochastic game model for designing defense policies for cyber-physical systems against different types of attacks. With the increasingly integrated properties of cyber-physical systems…
This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired by the idea of Four-Step-Scheme for forward-backward…
In this work, we study stochastic non-cooperative games, where only noisy black-box function evaluations are available to estimate the cost function for each player. Since each player's cost function depends on both its own decision…
We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form…
In this second part of our two-part paper, we invoke the stochastic maximum principle, conditional Hamiltonian and the coupled backward-forward stochastic differential equations of the first part [1] to derive team optimal decentralized…
By means of an original approach, called "method of the moving frame", we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) with path dependent…
This paper proposes a distributed algorithm to find the Nash equilibrium in a class of non-cooperative convex games with partial-decision information. Our method employs a distributed projected gradient play approach alongside consensus…
Coordination games have been of interest to game theorists, economists, and ecologists for many years to study such problems as the emergence of local conventions and the evolution of cooperative behavior. Approaches for understanding the…
We present a novel framework for {\epsilon}-optimally solving two-player zero-sum partially observable stochastic games (zs-POSGs). These games pose a major challenge due to the absence of a principled connection with dynamic programming…
We consider strongly monotone games with convex separable coupling constraints, played by dynamical agents, in a partial-decision information scenario. We start by designing continuous-time fully distributed feedback controllers, based on…
This paper studies the mixed zero-sum stochastic differential game problem. We allow the functionals and dynamics to be of polynomial growth. The problem is formulated as an extended doubly reflected BSDEs with a specific generator. We show…
In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an It\^o diffusion via one-sided singular stochastic control, aiming to…