Related papers: Being serious about non-commitment: subgame perfec…

This article is devoted to the study of lower semicontinuous solutions of Hamilton-Jacobi equations with convex Hamiltonians in a gradient variable. Such Hamiltonians appear in the optimal control theory. We present a necessary and…

We present a novel coalgebraic formulation of infinite extensive games. We define both the game trees and the strategy profiles by possibly infinite systems of corecursive equations. Certain strategy profiles are proved to be subgame…

For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…

A possibly immortal agent tries to maximise its summed discounted rewards over time, where discounting is used to avoid infinite utilities and encourage the agent to value current rewards more than future ones. Some commonly used discount…

We propose a new mean-field game model with two states to study synchronization phenomena, and we provide a comprehensive characterization of stationary and dynamic equilibria along with their stability properties. The game undergoes a…

This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the nonnegative consumption rate and a fraction of the historical…

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 two-player random extensive form games where the payoffs at the leaves are independently drawn uniformly at random from a given feasible set C. We study the asymptotic distribution of the subgame perfect equilibrium outcome for…

This paper proves the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal fully-nonlinear parabolic systems, where the nonlocality stems…

This paper investigates the global stability and the global asymptotic stability independent of the sizes of the delays of linear time-varying Caputo fractional dynamic systems of real fractional order possessing internal point delays. The…

We study delay-independent stability in nonlinear models with a distributed delay which have a positive equilibrium. Such models frequently occur in population dynamics and other applications. In particular, we construct a relevant…

In this manuscript we consider a class optimal control problem for stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we…

We obtain global, non-asymptotic convergence guarantees for independent learning algorithms in competitive reinforcement learning settings with two agents (i.e., zero-sum stochastic games). We consider an episodic setting where in each…

We consider a Mean Field Games model where the dynamics of the agents is subdiffusive. According to the optimal control interpretation of the problem, we get a system involving fractional time-derivatives for the Hamilton-Jacobi-Bellman and…

The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…

Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…

We study a specific class of finite-horizon mean field optimal stopping problems by means of the dynamic programming approach. In particular, we consider problems where the state process is not affected by the stopping time. Such problems…

We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…

We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…

In recent years there has been intense interest in the vanishing discount problem for Hamilton-Jacobi equations. In the case of the scalar equation, B. Ziliotto has recently given an example of the Hamilton-Jacobi equation having non-convex…