Results 11 to 20 of about 132,701 (326)
Risk-Minimizing Two-Player Zero-Sum Stochastic Differential Game via Path Integral Control [PDF]
IEEE Conference on Decision and Control, 2023 This paper addresses a continuous-time risk-minimizing two-player zero-sum stochastic differential game (SDG), in which each player aims to minimize its probability of failure. Failure occurs in the event when the state of the game enters into predefined
Apurva Patil +3 more
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Results in Control and Optimization, 2023 The main objective of this work is to give conditions for the existence of Nash equilibria for a nonzero-sum constrained stochastic differential game with additive structure and Markovian switchings.
Beatris Adriana Escobedo-Trujillo +4 more
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Consensus as a Nash Equilibrium of a Stochastic Differential Game [PDF]
European Journal of Statistics, 2021 In this paper a consensus has been constructed in a social network which is modeled by a stochastic differential game played by agents of that network. Each agent independently minimizes a cost function which represents their motives.
Paramahansa Pramanik
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Backward Stackelberg Games with Delay and Related Forward–Backward Stochastic Differential Equations
Mathematics, 2023 In this paper, we study a kind of Stackelberg game where the controlled systems are described by backward stochastic differential delayed equations (BSDDEs).
Li Chen, Peipei Zhou, Hua Xiao
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Complexity, 2023 In this article, we consider the Nash equilibrium of stochastic differential game where the state process is governed by a controlled stochastic partial differential equation and the information available to the controllers is possibly less than the ...
Gaofeng Zong
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Malliavin Calculus and Its Application to Robust Optimal Investment for an Insider
Mathematics, 2023 In the theory of portfolio selection, there are few methods that effectively address the combined challenge of insider information and model uncertainty, despite numerous methods proposed for each individually.
Chao Yu, Yuhan Cheng
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A stochastic linear-quadratic differential game with time-inconsistency
Electronic Research Archive, 2022 We consider a general stochastic linear-quadratic differential game with time-inconsistency. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals.
Qinglong Zhou, Gaofeng Zong
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Symmetry, 2023 From the previous work, when solving the LQ optimal control problem with random coefficients (SLQ, for short), it is remarkably shown that the solution of the backward stochastic Riccati equations is not regular enough to guarantee the robustness of the ...
Chao Tang, Jinxing Liu
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Frontiers in Sustainable Food Systems, 2023 IntroductionIn recent years, the combination of the public health crisis and the climate crisis has greatly weakened the resilience of food systems. The Belt and Road food cooperation will make outstanding contributions to consolidate food security and ...
Mao Qinghua +3 more
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A mean field game price model with noise
Mathematics in Engineering, 2021 In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize their average cost
Diogo Gomes +2 more
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