Results 31 to 40 of about 3,129 (263)
Mean-field linear-quadratic stochastic differential games [PDF]
Journal of Differential Equations, 2021 The paper is concerned with two-person zero-sum mean-field linear-quadratic stochastic differential games over finite horizons. By a Hilbert space method, a necessary condition and a sufficient condition are derived for the existence of an open-loop saddle point.
Jingrui Sun, Hanxiao Wang, Zhen Wu
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Computer virus propagation modelled as a stochastic differential game
Atti della Accademia Peloritana dei Pericolanti : Classe di Scienze Fisiche, Matematiche e Naturali, 2020 The propagation of a computer virus is expressed as a stochastic differential game based on the two-dimensional Kermack-McKendrick model for the spread of epidemics.
Mario Lefebvre
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Stochastic optimal control and stochastic differential Games [PDF]
, 2021 Η παρούσα διατριβή χωρίζεται σε δύο μέρη. Το πρώτο μέρος ξεκινάει με την κατασκευή μίας νέας προσέγγισης για την μελέτη του προβλήματος του καθορισμού της βέλτιστης επενδυτικής πολιτικής κάτω από την ύπαρξη εσωτερικής πληροφόρησης. Η προσέγγιση αυτή βασίζεται κυρίως σε τεχνικές της θεωρίας στοχαστικού ελέγχου και πιο συγκεκριμένα στην χρήση της ...
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Deep fictitious play for stochastic differential games [PDF]
Communications in Mathematical Sciences, 2021 In this paper, we apply the idea of fictitious play to design deep neural networks (DNNs), and develop deep learning theory and algorithms for computing the Nash equilibrium of asymmetric $N$-player non-zero-sum stochastic differential games, for which we refer as \emph{deep fictitious play}, a multi-stage learning process.
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N-Player Stochastic Differential Games [PDF]
SIAM Journal on Control and Optimization, 1976 The paper presents conditions which guarantee that the control strategies adopted by N players constitute an efficient solution, an equilibrium, or a core solution. The system dynamics are described by an Ito equation, and all players have perfect information.
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Nonzero-Sum Stochastic Differential Game between Controller and Stopper for Jump Diffusions
Abstract and Applied Analysis, 2013 We consider a nonzero-sum stochastic differential game which involves two players, a controller and a stopper. The controller chooses a control process, and the stopper selects the stopping rule which halts the game.
Yan Wang +3 more
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A Stackelberg reinsurance-investment game with derivatives trading
Boundary Value Problems, 2023 This paper studies a stochastic Stackelberg differential reinsurance-investment game with derivatives trading under a stochastic volatility model. The reinsurer who occupies a monopoly position can price a reinsurance premium and invest her wealth in the
Rui Gao, Yanfei Bai
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Motor Vehicle Insurance Anti-Fraud Modeling Based on a Stochastic Differential Game System
Systems, 2023 In this paper, we regard policyholders, insurance companies, and government departments to be an anti-fraud supervision system, and we explore the supervision of motor vehicle insurance fraud from the perspective of a tripartite game.
Meixuan Li +3 more
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Journal of Differential Equations, 1972 Consider a stochastic differential system of \(m\) equations \[ d\xi(t)=f(t,\xi(t), y_1,\ldots, y_N)\,dt+ \sigma(t, \xi(t))\,dw(t),\quad \xi(s) =x_0, \] where the player \(y_i\) chooses a control function with values in a control set \(Y_i\). Denote by \(\tau\) the exit time of \(\xi(t)\) from a cylinder \(\{s
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Differential games for stochastic partial differential equations [PDF]
Nagoya Mathematical Journal, 1993 In this paper we are concerned with zero-sum two-player finite horizon games for stochastic partial differential equations (SPDE in short). The main aim is to formulate the principle of dynamic programming for the upper (or lower) value function and investigate the relationship between upper (or lower) value function and viscocity solution of min-max ...
Fleming, W. H., Nisio, M.
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