相关论文: Linear-Quadratic Stochastic Differential Games on …

The study of linear-quadratic stochastic differential games on directed networks was initiated in Feng, Fouque \& Ichiba \cite{fengFouqueIchiba2020linearquadratic}. In that work, the game on a directed chain with finite or infinite players…

We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and…

In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to…

We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is…

This paper is concerned with an indefinite linear-quadratic mean field games of stochastic large-population system, where the individual diffusion coefficients can depend on both the state and the control of the agents. Moreover, the…

This paper studies the limits of empirical means of open-loop Nash equilibria of linear-quadratic stochastic differential games as the number of players goes to infinity, when the corresponding mean field game is of potential type and may…

A Linear Quadratic Deterministic Continuous Time Game with many symmetric players is considered and the Linear Feedback Nash strategies are studied as the number of players goes to infinity. We show that under some conditions the limit of…

In this study, we investigate $N$-player stochastic differential games with regime switching, where the player dynamics are modulated by a finite-state Markov chain. We analyze the associated Nash system, which consists of a system of…

In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…

This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…

We study a class of deterministic finite-horizon two-player nonzero-sum differential games where players are endowed with different kinds of controls. We assume that Player 1 uses piecewise-continuous controls, while Player 2 uses impulse…

We introduce a novel class of Nash equilibrium seeking dynamics for non-cooperative games with a finite number of players, where the convergence to the Nash equilibrium is bounded by a KL function with a settling time that can be upper…

This paper explores distributed Nash equilibrium seeking problems for games in which the players have limited knowledge on other players' actions. In particular, the involved players are considered to be high-order integrators with their…

We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the…

This paper studies a linear-quadratic mean-field game of stochastic large-population system, where the large-population system satisfies a class of $N$ weakly coupled linear backward stochastic differential equation. Different from the…

Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…

We identify structural assumptions which provide solvability of the Nash system arising from a linear-quadratic closed-loop game, with stable properties with respect to the number of players. In a setting of interactions governed by a…

We consider stochastic differential games with $N$ players, linear-Gaussian dynamics in arbitrary state-space dimension, and long-time-average cost with quadratic running cost. Admissible controls are feedbacks for which the system is…

We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…

An open problem in linear quadratic (LQ) games has been characterizing the Nash equilibria. This problem has renewed relevance given the surge of work on understanding the convergence of learning algorithms in dynamic games. This paper…