相关论文: Zero-sum linear quadratic stochastic integral game…

In this paper we consider an infinite horizon zero-sum differential game where the dynamics of each player and the running cost are also depending on the evolution of some discrete (switching) variables. In particular, such switching…

In this paper, we first address a linear quadratic mean-field game problem with a leader-follower structure. By adopting a Riccati-type approach, we show how one can obtain a state-feedback representation of the pairs of strategies which…

This paper investigates a robust incentive Stackelberg stochastic differential game problem for a linear-quadratic mean field system, where the model uncertainty appears in the drift term of the leader's state equation. Moreover, both the…

We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…

For a zero-sum stochastic game which does not satisfy the Isaacs condition, we provide a value function representation for an Isaacs-type equation whose Hamiltonian lies in between the lower and upper Hamiltonians, as a convex combination…

In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…

This paper is concerned with a two-person zero-sum indefinite stochastic linear-quadratic Stackelberg differential game with asymmetric informational uncertainties, where both the leader and follower face different and unknown disturbances.…

We consider a finite horizon dynamic game with two players who observe their types privately and take actions, which are publicly observed. Players' types evolve as independent, controlled linear Gaussian processes and players incur…

We study a zero-sum game where the evolution of a spectrally one-sided Levy process is modified by a singular controller and is terminated by the stopper. The singular controller minimizes the expected values of running, controlling and…

We study the global convergence of policy optimization for finding the Nash equilibria (NE) in zero-sum linear quadratic (LQ) games. To this end, we first investigate the landscape of LQ games, viewing it as a nonconvex-nonconcave…

This paper considers a linear-quadratic (LQ) mean field control problem involving a major player and a large number of minor players, where the dynamics and costs depend on random parameters. The objective is to optimize a social cost as a…

This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the $L^2$-stability framework, we study a class of linear backward stochastic…

In this paper, we investigate a class of nonzero-sum dynamic stochastic games, where players have linear dynamics and quadratic cost functions. The players are coupled in both dynamics and cost through a linear regression (weighted average)…

This paper is devoted to a Stackelberg stochastic differential game for a linear mean-field type stochastic differential system with a mean-field type quadratic cost functional in finite horizon. The coefficients in the state equation and…

Bayesian regression games are a special class of two-player general-sum Bayesian games in which the learner is partially informed about the adversary's objective through a Bayesian prior. This formulation captures the uncertainty in regard…

This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced. Existence of an open-loop Nash equilibrium…

This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic…

In this paper we formulate and solve a mean-field game described by a linear stochastic dynamics and a quadratic or exponential-quadratic cost functional for each generic player. The optimal strategies for the players are given explicitly…

In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations with singular and non-convolution-type coefficients. The weighting matrices in the cost functional are not assumed to be non-negative…

Recent successes of game-theoretic formulations in ML have caused a resurgence of research interest in differentiable games. Overwhelmingly, that research focuses on methods and upper bounds on their speed of convergence. In this work, we…