相关论文: Stopper vs. singular-controller games with degener…

Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…

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…

This paper studies a two-player nonzero-sum stochastic differential game governed by a controlled convection-diffusion stochastic partial differential equation (SPDE) with spatially heterogeneous coefficients. The diffusion and transport…

We study a zero-sum game where the evolution of a spectrally one-sided Levy process is modified by a singular controller and is terminated by the stopper. The singular controller minimizes the expected values of running, controlling and…

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…

We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for…

The Hamilton-Jacobi-Bellman equation (HJB) associated with the time inhomogeneous singular control problem is a parabolic partial differential equation, and the existence of a classical solution is usually difficult to prove. In this paper,…

We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…

In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…

A zero-sum differential game with controlled jump-diffusion driven state is considered, and studied using a combination of dynamic programming and viscosity solution techniques. We prove, under certain conditions, that the value of the game…

We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies…

We consider a stochastic game of control and stopping specified in terms of a process $X_t=-\theta \Lambda_t+W_t$, representing the holdings of Player 1, where $W$ is a Brownian motion, $\theta$ is a Bernoulli random variable indicating…

We prove the dynamic programming principe for uniformly nondegenerate stochastic differential games in the framework of time-homogeneous diffusion processes considered up to the first exit time from a domain. The zeroth-order "coefficient"…

In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…

This paper studies a stochastic dynamic game between two competing teams, each consisting of a network of collaborating agents. Unlike fully cooperative settings, where all agents share a common objective, each team in this game aims to…

The paper is concerned with a variant of the continuous-time finite state Markov game of control and stopping where both players can affect transition rates, while only one player can choose a stopping time. We use the dynamic programming…

Zero-sum stochastic games generalize the notion of Markov Decision Processes (i.e. controlled Markov chains, or stochastic dynamic programming) to the 2-player competitive case : two players jointly control the evolution of a state…

In this work, we study a class of stationary mean-field games of singular stochastic control under model uncertainty. The representative agent adjusts the dynamics of an It\^o diffusion via one-sided singular stochastic control, aiming to…

We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…

We generalize the results of Fleming and Souganidis (1989) on zero sum stochastic differential games to the case when the controls are unbounded. We do this by proving a dynamic programming principle using a covering argument instead of…