Related papers: Infinite Horizon Noncooperative Differential Games
An open problem in linear quadratic (LQ) games has been characterizing the Nash equilibria. This problem has renewed relevance given the surge of work on understanding the convergence of learning algorithms in dynamic games. This paper…
We study nonzero-sum stochastic differential games with risk-sensitive ergodic cost criterion. Under certain conditions, using multi-parameter eigenvalue approach, we establish the existence of a Nash equilibrium in the space of stationary…
In this paper, we investigate a partially observable zero sum games where the state process is a discrete time Markov chain. We consider a general utility function in the optimization criterion. We show the existence of value for both…
This paper is related to nonzero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition. The…
We prove existence of a value for two-player zero-sum stopper vs. singular-controller games on finite-time horizon, when the underlying dynamics is one-dimensional, diffusive and bound to evolve in $[0,\infty)$. We show that the value is…
This paper studies partially observable two-person zero-sum semi-Markov games under a probability criterion, in which the system state may not be completely observed. It focuses on the probability that the accumulated rewards of player 1…
We identify structural assumptions which provide solvability of the Nash system arising from a linear-quadratic closed-loop game, with stable properties with respect to the number of players. In a setting of interactions governed by a…
This paper considers discounted infinite horizon mean field games by extending the probabilistic weak formulation of the game as introduced by Carmona and Lacker (2015). Under similar assumptions as in the finite horizon game, we prove…
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…
Many resources are provided by an ecological system that is vulnerable to tipping when exceeding a certain level of pollution, with a sudden big loss of ecosystem services. An ecological system is usually also a common-pool resource and…
In the present work, we consider 2-person zero-sum stochastic differential games with a nonlinear pay-off functional which is defined through a backward stochastic differential equation. Our main objective is to study for such a game the…
We prove that for a class of zero-sum differential games with incomplete information on both sides, the value admits a probabilistic representation as the value of a zero-sum stochastic differential game with complete information, where…
We study infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled continuous time Markov chains on a countable state space. For the discounted-cost game we prove the existence of value and…
We study a finite-horizon two-person zero-sum risk-sensitive stochastic game for continuous-time Markov chains and Borel state and action spaces, in which payoff rates, transition rates and terminal reward functions are allowed to be…
We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse…
This paper investigates a two-person non-homogeneous linear-quadratic stochastic differential game (LQ-SDG, for short) in an infinite horizon for a system regulated by a time-invariant Markov chain. Both non-zero-sum and zero-sum LQ-SDG…
In this note, we study a class of deterministic finite-horizon linear-quadratic difference games with coupled affine inequality constraints involving both state and control variables. We show that the necessary conditions for the existence…
In this paper we deal with the problem of existence of a smooth solution of the Hamilton-Jacobi-Bellman-Isaacs (HJBI for short) system of equations associated with nonzero-sum stochastic differential games. We consider the problem in…
This paper presents algorithms for non-zero sum nonlinear constrained dynamic games with full information. Such problems emerge when multiple players with action constraints and differing objectives interact with the same dynamic system.…
Motivated by Cournot models, this paper proposes novel models of the noncooperative and cooperative differential games with density constraints in infinite dimensions, where markets consist of infinite firms and demand dynamics are governed…