Results 31 to 40 of about 106,193 (320)

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 ...
openaire   +1 more source

Smale Strategies for Network Prisoner's Dilemma Games [PDF]

, 2015
Smale's approach \cite{Smale80} to the classical two-players repeated Prisoner's Dilemma game is revisited here for $N$-players and Network games in the framework of Blackwell's approachability, stochastic approximations and differential ...
Behrstock, Kashi, Benaïm, Michel, Hirsch, Morris W.   +2 more
core   +3 more sources

Closed-Loop Nash Equilibrium in the Class of Piecewise Constant Strategies in a Linear State Feedback Form for Stochastic LQ Games

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, Ivan Ganchev Ivanov, Ioan-Lucian Popa, Ovidiu Bagdasar   +3 more
doaj   +1 more source

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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Swarms dynamics approach to behavioral economy: Theoretical tools and price sequences

Networks and Heterogeneous Media, 2020
This paper presents a development of the mathematical theory of swarms towards a systems approach to behavioral dynamics of social and economical systems.
Nicola Bellomo, Sarah De Nigris, Damián Knopoff, Matteo Morini, Pietro Terna   +4 more
doaj   +1 more source

Mean-field linear-quadratic stochastic differential games in an infinite horizon [PDF]

E S A I M: Control, Optimisation and Calculus of Variations, 2020
This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced.
Xunjing Li, Jingtao Shi, J. Yong
semanticscholar   +1 more source

Stackelberg strategies in linear-quadratic stochastic differential games [PDF]

, 1981
This paper obtains the Stackelberg solution to a class of two-player stochastic differential games described by linear state dynamics and quadratic objective functionals.
Bagchi, A., Basar, T.
core   +3 more sources

A Class of Pursuit Problems in 3D Space via Noncooperative Stochastic Differential Games

Aerospace
This paper investigates three-dimensional pursuit problems in noncooperative stochastic differential games. By introducing a novel polynomial value function capable of addressing high-dimensional dynamic systems, the forward–backward stochastic ...
Yu Bai, Di Zhou, Zhen He
doaj   +1 more source

Cemracs 2017: numerical probabilistic approach to MFG [PDF]

ESAIM: Proceedings and Surveys, 2019
This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type.
Angiuli Andrea, Graves Christy V., Li Houzhi, Chassagneux Jean-François, Delarue François, Carmona René   +5 more
doaj   +1 more source

Stochastic Differential Games

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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