相关论文: Maximum principles for stochastic time-changed Vol…

We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…

We consider a subclass of $n$-player stochastic games, in which players have their own internal state/action spaces while they are coupled through their payoff functions. It is assumed that players' internal chains are driven by independent…

In this work we propose a kinetic formulation for evolutionary game theory for zero sum games when the agents use mixed strategies. We start with a simple adaptive rule, where after an encounter each agent increases the probability of play…

In this article, we explore two distinct issues. Initially, we examine the utilization of the Pontriagin maximum principle in relation to fractional delay differential equations. Additionally, we discuss the optimal approach for solving the…

In this paper, we study the problem of multiple stochastic agents interacting in a dynamic game scenario with continuous state and action spaces. We define a new notion of stochastic Nash equilibrium for boundedly rational agents, which we…

We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…

Game-theoretic techniques and equilibria analysis facilitate the design and verification of competitive systems. While algorithmic complexity of equilibria computation has been extensively studied, practical implementation and application…

We consider an optimal control problem for infinite horizon systems governed by coupled forward-backward stochastic Volterra integral equations with delay. Using Hida-Malliavin calculus, we prove both sufficient and necessary maximum…

We study a finite-horizon two-person zero-sum risk-sensitive stochastic game for continuous-time Markov chains and Borel state and action spaces, in which payoff rates, transition rates and terminal reward functions are allowed to be…

Non-cooperative dynamic game theory provides a principled approach to modeling sequential decision-making among multiple noncommunicative agents. A key focus has been on finding Nash equilibria in two-agent zero-sum dynamic games under…

We analyze the problem of stochastic optimal control of SDEs where the driver includes a self-exciting stochastic process. Due to the non-Markovian nature of the problem, we apply the stochastic maximum principle approach. We derive a…

We consider in discrete time, a general class of sequential stochastic dynamic games with asymmetric information with the following features. The underlying system has Markovian dynamics controlled by the agents' joint actions. Each agent's…

We consider a nonzero-sum N-player Markov game on an abstract measurable state space with compact metric action spaces. The payoff functions are bounded Carath\'eodory functions and the transitions of the system are assumed to have a…

We establish finite-time last-iterate guarantees for vanilla stochastic gradient descent in co-coercive games under noisy feedback. This is a broad class of games that is more general than strongly monotone games, allows for multiple Nash…

In an atomic splittable flow over time game, finitely many players route flow dynamically through a network, in which edges are equipped with transit times, specifying the traversing time, and with capacities, restricting flow rates.…

The computational study of equilibria involving constraints on players' strategies has been largely neglected. However, in real-world applications, players are usually subject to constraints ruling out the feasibility of some of their…

We introduce a new approach for computing optimal equilibria via learning in games. It applies to extensive-form settings with any number of players, including mechanism design, information design, and solution concepts such as correlated,…

We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the stochastic dynamics of the debt-to-GDP ratio via singular…

This work establishes two versions of the Pontryagin-type maximum principles for partially observed optimal control of coupled forward stochastic partial differential equations (FSPDEs) and backward stochastic differential equations (BSDEs)…