Results 11 to 20 of about 2,620,970 (281)
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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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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Linear-Quadratic-Singular Stochastic Differential Games and Applications [PDF]
, 2023 Dianetti J. Linear-Quadratic-Singular Stochastic Differential Games and Applications. Center for Mathematical Economics Working Papers. Vol 678. Bielefeld: Center for Mathematical Economics; 2023.We consider a class of non-cooperative N -player non-zero ...
Dianetti, Jodi
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REGULARITY AND SENSITIVITY FOR MCKEAN-VLASOV TYPE SPDEs GENERATED BY STABLE-LIKE PROCESSES
Проблемы анализа, 2018 In this paper we study the sensitivity of nonlinear stochastic differential equations of McKean–Vlasov type generated by stable-like processes. By using the method of stochastic characteristics, we transfer these equations to non-stochastic equations ...
V. N. Kolokoltsov, M. S. Troeva
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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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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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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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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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Consensus Formation and Change are Enhanced by Neutrality. [PDF]
Adv Sci (Weinh)Neutral agents are shown to enhance both the formation and overturning of consensus in collective decision‐making. A general mathematical model and experiments with locusts and humans reveal that neutrality enables robust consensus via simple interactions and accelerates consensus change by reducing effective population size.
Sontag A +4 more
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Recursive Concurrent Stochastic Games [PDF]
, 2006 . We study Recursive Concurrent Stochastic Games (RCSGs), extending our recent analysis of recursive simple stochastic games [14, 15] to a concurrent setting where the two players choose moves simultaneously and independently at each state.
Mihalis Yannakakis +3 more
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