Related papers: Stochastic differential games with asymmetric info…

Given a skew-symmetric matrix, the corresponding two-player symmetric zero-sum game is defined as follows: one player, the row player, chooses a row and the other player, the column player, chooses a column. The payoff of the row player is…

We introduce two-level discounted games played by two players on a perfect-information stochastic game graph. The upper level game is a discounted game and the lower level game is an undiscounted reachability game. Two-level games model…

We study a differential game where two players separately control their own dynamics, pay a running cost, and moreover pay an exit cost (quitting the game) when they leave a fixed domain. In particular, each player has its own domain and…

In this paper we study the nonzero-sum Dynkin game in continuous time which is a two player non-cooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we…

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 study zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equation in which the distribution of both state and controls of…

In this paper we study the zero-sum and nonzero-sum differential games with not assuming Isaacs condition. Along with the partition $\pi$ of the time interval $[0,T]$, we choose the suitable random non-anticipative strategy with delay to…

In this paper, we study the notion of adversarial Stackelberg value for two-player non-zero sum games played on bi-weighted graphs with the mean-payoff and the discounted sum functions. The adversarial Stackelberg value of Player 0 is the…

This paper focuses on zero-sum stochastic differential games in the framework of forward-backward stochastic differential equations on a finite time horizon with both players adopting impulse controls. By means of BSDE methods, in…

This paper is concerned with a kind of linear-quadratic (LQ, for short) two-person zero-sum stochastic differential game problems with partial observation. We propose the notions of explicit and implicit feedback laws under partial…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary…

Two-player stochastic games are games with two 2 players and a randomised entity called "nature". A natural question to ask in this framework is the existence of strategies that ensure that an event happens with probability 1 (almost-sure…

We consider a Markovian stochastic control problem with model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feed-back (closed-loop) strategies. The adverse player (nature) who does not have a…

We consider infinite-state turn-based stochastic games of two players, Box and Diamond, who aim at maximizing and minimizing the expected total reward accumulated along a run, respectively. Since the total accumulated reward is unbounded,…

This paper investigates mixed strategies in dynamic games with perfect information. We present an example to show that a player may obtain higher payoff by playing mixed strategy. By contrast, the main result of the paper shows that every…

We study two person nonzero-sum stochastic differential games with risk-sensitive discounted and ergodic cost criteria. Under certain conditions we establish a Nash equilibrium in Markov strategies for the discounted cost criterion and a…

This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a…

We study two-player zero-sum repeated games with incomplete information on one side, where the payoff function is tail measurable (and not necessarily the long-run average payoff). We show that the maxmin value equals the concavification of…

Zero-sum asymmetric games model decision making scenarios involving two competing players who have different information about the game being played. A particular case is that of nested information, where one (informed) player has superior…