Results 11 to 20 of about 106,193 (320)
Global existence for quadratic FBSDE systems and application to stochastic differential games [PDF]
Electronic Communications in Probability, 2021 In this note, we extend some recent results on systems of backward stochastic differential equations (BSDEs) with quadratic growth to the case of coupled forward-backward stochastic differential equations (FBSDEs). We work in a Markovian setting, and use
Joe Jackson
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Nonlocality, nonlinearity, and time inconsistency in stochastic differential games [PDF]
Social Science Research Network, 2021 This paper studies the well‐posedness of a class of nonlocal fully nonlinear parabolic systems, which nest the equilibrium Hamilton–Jacobi–Bellman (HJB) systems that characterize the time‐consistent Nash equilibrium point of a stochastic differential ...
Qian Lei, Chi Seng Pun
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Stochastic Differential Games with Asymmetric Information [PDF]
Applied Mathematics and Optimization, 2008 We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual solutions of some second order Hamilton-Jacobi equation.
Cardaliaguet, Pierre, Rainer, Catherine
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AIMS Mathematics, 2021 In this paper, a hybrid differential evolution particle swarm optimization (PSO) method based on a good point set (GPDEPSO) is proposed to compute a finite noncooperative game among N people.
Huimin Li +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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Pathwise Strategies for Stochastic Differential Games with an Erratum to “Stochastic Differential Games with Asymmetric Information” [PDF]
Applied Mathematics & Optimization, 2013 We introduce a new notion of pathwise strategies for stochastic differential games. This allows us to give a correct meaning to some statement asserted in [Cardaliaguet-Rainer 2009].
Rainer, Catherine, Cardaliaguet, Pierre
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Approximate public-signal correlated equilibria for nonzero-sum differential games [PDF]
, 2018 We construct an approximate public-signal correlated equilibrium for a nonzero-sum differential game in the class of stochastic strategies with memory.
Averboukh, Yurii
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Mean-Field Type Games between Two Players Driven by Backward Stochastic Differential Equations
Games, 2018 In this paper, mean-field type games between two players with backward stochastic dynamics are defined and studied. They make up a class of non-zero-sum, non-cooperating, differential games where the players’ state dynamics solve backward ...
Alexander Aurell
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Multiscale models of Covid-19 with mutations and variants
Networks and Heterogeneous Media, 2022 This paper focuses on the multiscale modeling of the COVID-19 pandemic and presents further developments of the model [7] with the aim of showing how relaxations of the confinement rules can generate sequential waves.
Nicola Bellomo +2 more
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Coalitional Stochastic Differential Games for Networks
IEEE Control Systems Letters, 2022 We consider a networked stochastic cooperative differential game by incorporating two types of networks that allow us to study both the dynamic coupling among decision-makers and their strategic interaction.
J. Barreiro‐Gomez, Quanyan Zhu
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