Results 11 to 20 of about 40,034 (267)
On the adjoint Markov policies in stochastic differential games [PDF]
Communications on Stochastic Analysis, 2019 We consider time-homogeneous uniformly nondegenerate stochastic differential games in domains and propose constructing $\varepsilon$-optimal strategies and policies by using adjoint Markov strategies and adjoint Markov policies which are actually time ...
Krylov, N. V.
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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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Mathematics, 2022 In this paper, we consider the two-player state and control path-dependent stochastic zero-sum differential game. In our problem setup, the state process, which is controlled by the players, is dependent on (current and past) paths of state and control ...
Jun Moon
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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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On modeling blockchain-enabled economic networks as stochastic dynamical systems
Applied Network Science, 2020 Blockchain networks have attracted tremendous attention for creating cryptocurrencies and decentralized economies built on peer-to-peer protocols. However, the complex nature of the dynamics and feedback mechanisms within these economic networks has ...
Zixuan Zhang +2 more
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A Stochastic Differential Game in the Orthrant
Journal of Mathematical Analysis and Applications, 2002 This paper concerns a zero-sum stochastic differential game on the nonnegative orthrant. The corresponding dynamical systems is a stochastic differential equation where players control act only on the drift terms (and not on the diffusion term), also the bijectories are reflected on the boundary of the orthrant.
Ghosh, Mrinal K, Kumar, Suresh K
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Mathematics, 2021 In this paper, we examine a sampled-data Nash equilibrium strategy for a stochastic linear quadratic (LQ) differential game, in which admissible strategies are assumed to be constant on the interval between consecutive measurements.
Vasile Drăgan +3 more
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A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides [PDF]
, 2017 We prove that for a class of zero-sum differential games with incomplete information on both sides, the value admits a probabilistic representation as the value of a zero-sum stochastic differential game with complete information, where both players ...
Gensbittel, Fabien, Rainer, Catherine
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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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