Related papers: On the value of optimal stopping games

In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…

We investigate zero-sum turn-based two-player stochastic games in which the objective of one player is to maximize the amount of rewards obtained during a play, while the other aims at minimizing it. We focus on games in which the minimizer…

We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…

We present a new notion of solution for mean field games master equations. This notion allows us to work with solutions which are merely continuous. We prove first results of uniqueness and stability for such solutions. It turns out that…

I introduce a stability notion, dynamic stability, for two-sided dynamic matching markets where (i) matching opportunities arrive over time, (ii) matching is one-to-one, and (iii) matching is irreversible. The definition addresses two…

Two long-lived senders play a dynamic game of competitive persuasion. Each period, each provides information to a single short-lived receiver. When the senders also set prices, we unearth a folk theorem: if they are sufficiently patient,…

This paper gives a complete analysis of worst-case equilibria for various versions of weighted congestion games with two players and affine cost functions. The results are exact price of anarchy bounds which are parametric in the weights of…

We study a repeated game with payoff externalities and observable actions where two players receive information over time about an underlying payoff-relevant state, and strategically coordinate their actions. Players learn about the true…

This work considers two-player zero-sum semi-Markov games with incomplete information on one side and perfect observation. At the beginning, the system selects a game type according to a given probability distribution and informs to Player…

This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…

We study a two-player, zero-sum, dynamic game with incomplete information where one of the players is more informed than his opponent. We analyze the limit value as the players play more and more frequently. The more informed player…

We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such…

This paper proves the existence of optimal stopping times via elementary functional analytic arguments. The problem is first relaxed into a convex optimization problem over a closed convex subset of the unit ball of the dual of a Banach…

We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset -…

We consider perfect-information reachability stochastic games for 2 players on infinite graphs. We identify a subclass of such games, and prove two interesting properties of it: first, Player Max always has optimal strategies in games from…

A notion of incentive for agents is introduced which leads to a very general notion of an equilibrium for a finite game. Sufficient conditions for the existence of these equilibria are given. Known existence theorems are shown to be…

Suppose you have one unit of stock, currently worth 1, which you must sell before time $T$. The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, the expected discounted value we get when we sell will be 1.…

In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…

We consider concurrent stochastic games played on graphs with reachability and safety objectives. These games can be solved by value iteration as well as strategy iteration, each of them yielding a sequence of under-approximations of the…

Escalation is a typical feature of infinite games. Therefore tools conceived for studying infinite mathematical structures, namely those deriving from coinduction are essential. Here we use coinduction, or backward coinduction (to show its…