相关论文: Dynkin games for Markov processes associated with …

Policy-based methods with function approximation are widely used for solving two-player zero-sum games with large state and/or action spaces. However, it remains elusive how to obtain optimization and statistical guarantees for such…

It is well known that the rock-paper-scissors game has no pure saddle point. We show that this holds more generally: A symmetric two-player zero-sum game has a pure saddle point if and only if it is not a generalized rock-paper-scissors…

Following Baurdoux and Kyprianou [2] we consider the McKean stochastic game, a game version of the McKean optimal stopping problem (American put), driven by a spectrally negative Levy process. We improve their characterisation of a saddle…

We study the solution's existence for a generalized Dynkin game of switching type which is shown to be the natural representation for general defaultable OTC contract with contingent CSA. This is a theoretical counterparty risk mitigation…

Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…

We show that equilibria of a sequential semi-anonymous nonatomic game (SSNG) can be adopted by players in corresponding large but finite dynamic games to achieve near-equilibrium payoffs. Such equilibria in the form of random…

A two-person zero-sum infinite dimensional differential game of infinite duration with discounted payoff involving hybrid controls is studied. The minimizing player is allowed to take continuous, switching and impulse controls whereas the…

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 study stochastic dynamic games with many players; these are a fundamental model for a wide range of economic applications. The standard solution concept for such games is Markov perfect equilibrium (MPE), but it is well…

This paper attempts to study the optimal stopping time for semi-Markov processes (SMPs) under the discount optimization criteria with unbounded cost rates. In our work, we introduce an explicit construction of the equivalent semi-Markov…

This paper studies the finite-time horizon Markov games where the agents' dynamics are decoupled but the rewards can possibly be coupled across agents. The policy class is restricted to local policies where agents make decisions using their…

The paper is concerned with a zero-sum differential game in the case where a payoff is determined by the exit time, that is, the first time when the system leaves the game domain. Additionally, we assume that a part of domain's boundary is…

In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…

We investigate a two-player zero-sum stochastic differential game in which one of the players has more information on the game than his opponent. We show how to construct numerical schemes for the value function of this game, which is given…

This paper studies the existence of minimal solutions to two-point boundary value problems for quasi-monotone dynamical systems. Specifically, the pointwise infimum of all supersolutions is shown to coincide with the minimal solution. This…

Dynamic zero-sum games are an important class of problems with applications ranging from evasion-pursuit and heads-up poker to certain adversarial versions of control problems such as multi-armed bandit and multiclass queuing problems.…

We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…

We study dynamic finite-player and mean-field stochastic games within the framework of Markov perfect equilibria (MPE). Our focus is on discrete time and space structures without monotonicity. Unlike their continuous-time analogues,…

In the paper "Dynkin Games Via Dirichlet Forms and Singular Control of One-Dimensional Diffusion", the authors tried to show the existences of a smooth value function and an optimal policy to a one-dimensional stochastic singular control…

In this paper, we consider a linear quadratic stochastic two-person zero-sum differential game. The controls for both players are allowed to appear in both drift and diffusion of the state equation. The weighting matrices in the performance…