相关论文: Relative Value Iteration for Stochastic Differenti…

This paper analyses a stochastic differential game of control and stopping in which one of the players modifies a diffusion process using impulse controls, an adversary then chooses a stopping time to end the game. The paper firstly…

We study nonzero-sum stochastic differential games with risk-sensitive ergodic cost criterion. Under certain conditions, using multi-parameter eigenvalue approach, we establish the existence of a Nash equilibrium in the space of stationary…

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…

A general class of mean field games are considered where the governing dynamics are controlled diffusions in $\mathbb{R}^d$. The optimization criterion is the long time average of a running cost function. Under various sets of hypotheses,…

We study a class of zero-sum stochastic games between a stopper and a singular-controller, previously considered in [Bovo and De Angelis (2025)]. The underlying singularly-controlled dynamics takes values in…

In the framework of stochastic zero-sum differential games, we establish a verification theorem, inspired by those existing in stochastic control, to provide sufficient conditions for a pair of feedback controls to form a Nash equilibrium.…

We consider an N-player hierarchical game in which the i-th player's objective comprises of an expectation-valued term, parametrized by rival decisions, and a hierarchical term. Such a framework allows for capturing a broad range of…

The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a…

We study the problem of computing optimal correlated equilibria (CEs) in infinite-horizon multi-player stochastic games, where correlation signals are provided over time. In this setting, optimal CEs require history-dependent policies; this…

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…

We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…

A general model for zero-sum stochastic games with asymmetric information is considered. In this model, each player's information at each time can be divided into a common information part and a private information part. Under certain…

This paper studies the last-iterate convergence properties of the exponential weights algorithm with constant learning rates. We consider a repeated interaction in discrete time, where each player uses an exponential weights algorithm…

We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously updated through Langevin-type dynamics. This framework…

In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is…

We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…

In this article, we study a continuous-time stochastic $H_\infty$ control problem based on reinforcement learning (RL) techniques that can be viewed as solving a stochastic linear-quadratic two-person zero-sum differential game (LQZSG).…

The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relation with suitable stochastic ergodic control…