相关论文: Local time pushed mixed stopping and smooth fit fo…

In this paper, we investigate the robustness of stationary mean-field equilibria in the presence of model uncertainties, specifically focusing on infinite-horizon discounted cost functions. To achieve this, we initially establish…

We study the non-equilibrium dynamics of a one-dimensional interacting particle system that is a mixture of the voter model and the exclusion process. With the process started from a finite perturbation of the ground state Heaviside…

When modeling robot interactions as Nash equilibrium problems, it is desirable to place coupled constraints which restrict these interactions to be safe and acceptable (for instance, to avoid collisions). Such games are continuous with…

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…

We theoretically and experimentally study finite-time optimal control of a colloidal particle steered through a spatially inhomogeneous environment, modeled by a position-dependent energetic cost at the final state. The competition between…

We discuss the identification of a time-dependent potential in a time-fractional diffusion model from a boundary measurement taken at a single point. Theoretically, we establish a conditional Lipschitz stability for this inverse problem.…

This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game's…

For time-inconsistent stopping in a one-dimensional diffusion setup, we investigate how to use discrete-time models to approximate the original problem. In particular, we consider the value function $V(\cdot)$ induced by all mild equilibria…

Coordination games admit two types of equilibria: pure equilibria, where all players successfully coordinate their actions, and mixed equilibria, where players frequently experience miscoordination. The existing literature shows that under…

We consider a many-to-one variant of the stable matching problem. More concretely, we consider the variant of the stable matching problem where one side has a matroid constraint. Furthermore, we consider the situation where the preference…

We study a mean-field game of optimal stopping and investigate the existence of strong solutions via a connection with the Bank-El Karoui's representation problem. Under certain continuity assumptions, where the common noise is generated by…

Control problems not admitting the dynamic programming principle are known as time-inconsistent. The game-theoretic approach is to interpret such problems as intrapersonal dynamic games and look for subgame perfect Nash equilibria. A…

In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the more general framework associated with random coefficients.…

In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…

We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a non-zero-sum…

The steady problem resulting from a mixture of two distinct fluids of power-law type is analyzed in this work. Mathematically, the problem results from the superposition of two power laws, one for a constant power-law index with other for a…

We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…

Graph planning gives rise to fundamental algorithmic questions such as shortest path, traveling salesman problem, etc. A classical problem in discrete planning is to consider a weighted graph and construct a path that maximizes the sum of…

We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing…

We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function…