Related papers: Stochastic differential games with asymmetric info…
We study a nonzero-sum game of two players which is a generalization of the antagonistic noisy duel of discrete type. The game is considered from the point of view of various criterions of optimality. We prove existence of…
The classical, complete-information two-player games assume that the problem data (in particular the payoff matrix) is known exactly by both players. In a now famous result, Nash has shown that any such game has an equilibrium in mixed…
Motivated by a vaccination coverage problem, we consider here a zero-sum differential game governed by a differential system consisting of a hyperbolic partial differential equation (PDE) and an ordinary differential equation (ODE). Two…
In this paper we study zero-sum two-player stochastic differential games with the help of theory of Backward Stochastic Differential Equations (BSDEs). At the one hand we generalize the results of the pioneer work of Fleming and Souganidis…
We consider two person zero-sum games where the players control, at discrete times {tn} induced by a partition $\Pi$ of R + , a continuous time Markov state process. We prove that the limit of the values v$\Pi$ exist as the mesh of $\Pi$…
We present a fast numerical algorithm for large scale zero-sum stochastic games with perfect information, which combines policy iteration and algebraic multigrid methods. This algorithm can be applied either to a true finite state space…
This paper studies the rationalization and identification of binary games where players have correlated private types. Allowing for correlation is crucial in global games and in models with social interactions as it represents correlated…
In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…
This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a necessary maximum principle and sufficient…
In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functional of the pay-off. By using a recursive construction, we…
We consider a partially asymmetric three-players zero-sum game with two strategic variables. Two players (A and B) have the same payoff functions, and Player C does not. Two strategic variables are $t_i$'s and $s_i$'s for $i=A, B, C$.…
We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game with constant coefficients in an infinite time horizon. Open-loop and closed-loop saddle points are introduced. The existence of closed-loop…
We study the problem of finding equilibrium strategies in multi-agent games with incomplete payoff information, where the payoff matrices are only known to the players up to some bounded uncertainty sets. In such games, an ex-post…
In the present paper we investigate the problem of the existence of a value for differential games without Isaacs condition. For this we introduce a suitable concept of mixed strategies along a partition of the time interval, which are…
We consider a partially asymmetric multi-players zero-sum game with two strategic variables. All but one players have the same payoff functions, and one player (Player $n$) does not. Two strategic variables are $t_i$'s and $s_i$'s for each…
This article is dedicated to the study of mixed zero-sum two-player stochastic differential games in the situation when the player's cost functionals are modeled by doubly controlled reflected backward stochastic equations with two barriers…
A two-person zero-sum differential game with unbounded controls is considered. Under proper coercivity conditions, the upper and lower value functions are characterized as the unique viscosity solutions to the corresponding upper and lower…
This paper aims to solve two fundamental problems on finite or infinite horizon dynamic games with perfect or almost perfect information. Under some mild conditions, we prove (1) the existence of subgame-perfect equilibria in general…
We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…