相关论文: Zero-sum linear quadratic stochastic integral game…
In this paper we study zero-sum two-player stochastic differential games with jumps with the help of theory of Backward Stochastic Differential Equations (BSDEs). We generalize the results of Fleming and Souganidis [10] and those by Biswas…
This paper is concerned with an overlapping information linear-quadratic (LQ) Stackelberg stochastic differential game with two leaders and two followers, where the diffusion terms of the state equation contain both the control and state…
In this paper, we establish existence, uniqueness, and regularity properties of the solutions to multi-dimensional backward stochastic Volterra integral equations (BSVIEs), whose (possibly random) generator reflects nonlinear dependence on…
We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show…
This paper investigates the long-time behavior of zero-sum stochastic linear-quadratic (SLQ) differential games within Markov regime-switching diffusion systems and establishes the turnpike property of the optimal triple. By verifying the…
This paper investigates the two-person zero-sum stochastic games for piece-wise deterministic Markov decision processes with risk-sensitive finite-horizon cost criterion on a general state space. Here, the transition and cost/reward rates…
In this paper, we study the stochastic Volterra integral equation driven by $G$-Brownian motion ($G$-SVIE). The existence, uniqueness and two types of continuity of the solution to $G$-SVIE are obtained. Moreover, combining a new…
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the state equation and the weighting matrices in the cost…
We discuss an open-loop backward Stackelberg differential game involving single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is characterized by a backward stochastic differential equation…
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of the backward control system and the weighting matrices in…
We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…
In this paper, we investigate a new model of a linear-quadratic mean-field stochastic Stackelberg differential game with one leader and two followers, in which the leader is allowed to stop her strategy at a random time. Our overarching…
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedness of the BSDE in $L^1$ and in infinite horizon. A notion of…
We introduce and study a new type of integral equations called anticipating backward stochastic Volterra integral equations (anticipating BSVIEs). In these equations the generator involves not only the present values but also the future…
We formulate and study a class of two-player zero-sum stochastic dynamic games with partial and asymmetric information. Information asymmetry introduces fundamental challenges involving \emph{belief representation} and \emph{theory of mind}…
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime environment. The orthogonal decomposition introduced in [21] has…
Dynamic game arises as a powerful paradigm for multi-robot planning, for which safety constraint satisfaction is crucial. Constrained stochastic games are of particular interest, as real-world robots need to operate and satisfy constraints…
In this paper, we study a class of backward stochastic Volterra integral equations driven by Teugels martingales associated with an independent L\'{e}vy process and an independent Brownian motion (BSVIELs). We prove the existence and…
We study linear quadratic dynamic games where players are uncertain about each other's control policies or goals and consequently seek to be strategically robust. Building on recent work on strategically robust and risk-averse game theory,…
This paper studies a continuous-time stochastic linear-quadratic (SLQ) optimal control problem on infinite-horizon. A data-driven policy iteration algorithm is proposed to solve the SLQ problem. Without knowing three system coefficient…