A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes [PDF]
Mathematics, 2023 We develop an approach for two-player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes.
Emel Savku
doaj +2 more sources
Variance optimality in constrained and unconstrained stochastic differential games
Results in Control and Optimization, 2023 The purpose of this paper is to extend the variance optimality criterion to the settings of constrained and unconstrained two-person stochastic differential games.
Beatris Adriana Escobedo-Trujillo +3 more
doaj +2 more sources
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, Zhanghua Wu
semanticscholar +5 more sources
Analyzing reciprocity dynamics in supply chains of public goods: a stochastic evolutionary game approach [PDF]
PeerJ Computer ScienceTo start with an infinitely repeated game of supply chains of public goods, a stout reciprocity mechanism is introduced into income games to build a matric dynamic equation.
Simo Sun, Man Wang, Yi Lei
doaj +3 more sources
Deep Fictitious Play for Stochastic Differential Games [PDF]
Communications in Mathematical Sciences, 2019 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 ...
Ruimeng Hu
semanticscholar +4 more sources
On the Population Size in Stochastic Differential Games [PDF]
Notices of the American Mathematical Society, 2023 Commuters looking for the shortest path to their destinations, the security of networked computers, hedge funds trading on the same stocks, governments and populations acting to mitigate an epidemic, or employers and employees agreeing on a contact, are ...
Dylan Possamai, Ludovic Tangpi
semanticscholar +1 more source
Present-biased lobbyists in linear–quadratic stochastic differential games [PDF]
Finance and Stochastics, 2023 We investigate a linear–quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind farm. Players are time-inconsistent because they discount the utility with a non-constant rate. Our objective is to identify
A. Lazrak, Hanxiao Wang, J. Yong
semanticscholar +1 more source
Modeling and Computation of Transboundary Industrial Pollution with Emission Permits Trading by Stochastic Differential Game. [PDF]
PLoS ONE, 2015 Transboundary industrial pollution requires international actions to control its formation and effects. In this paper, we present a stochastic differential game to model the transboundary industrial pollution problems with emission permits trading.
Shuhua Chang, Xinyu Wang, Zheng Wang
doaj +1 more source
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
doaj +1 more source
Tug of War games and PDEs on graphs with applications in image and high dimensional data processing
Scientific Reports, 2023 The aim of this note is to revisit the connections between some stochastic games, namely Tug-of-War games, and a class of nonlocal PDEs on graphs. We consider a general formulation of Tug-of-War games which is shown to be related to many classical PDEs ...
Hamza Ennaji +2 more
doaj +1 more source