Results 41 to 50 of about 106,193 (320)

Differential games for stochastic partial differential equations [PDF]

Nagoya Mathematical Journal, 1993
In this paper we are concerned with zero-sum two-player finite horizon games for stochastic partial differential equations (SPDE in short). The main aim is to formulate the principle of dynamic programming for the upper (or lower) value function and investigate the relationship between upper (or lower) value function and viscocity solution of min-max ...
Fleming, W. H., Nisio, M.
openaire   +3 more sources

Approximate solutions of continuous-time stochastic games [PDF]

, 2016
The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a model game.
Averboukh, Yurii
core   +1 more source

Nash equilibrium strategies for non-zero-sum differential games of SDEs with time-varying coefficient and infinite Markov jumps

Electronic Research Archive
This paper mainly discusses the non-zero-sum Nash differential games for stochastic differential equations (SDEs) involving time-varying coefficient and infinite Markov jumps.
Yueying Liu, Mengping Sun, Zhen Wang, Xiangyun Lin, Cuihua Zhang   +4 more
doaj   +1 more source

Explicit Characterization of Feedback Nash Equilibria for Indefinite, Linear-Quadratic, Mean-Field-Type Stochastic Zero-Sum Differential Games with Jump-Diffusion Models

Mathematics, 2020
We consider the indefinite, linear-quadratic, mean-field-type stochastic zero-sum differential game for jump-diffusion models (I-LQ-MF-SZSDG-JD).
Jun Moon, Wonhee Kim
doaj   +1 more source

Novel Design of Slim Mould Optimizer for the Solution of Optimal Power Flow Problems Incorporating Intermittent Sources: A Case Study of Algerian Electricity Grid

IEEE Access, 2022
Nowadays, electrical power grids are facing increased penetration of renewable energy sources (RES), which result in increasing level of randomness and uncertainties for its operational quality.
Souhil Mouassa, Ahmed Althobaiti, Francisco Jurado, Sherif S. M. Ghoneim   +3 more
doaj   +1 more source

Two-Player Nonzero-Sum Stochastic Differential Games with Switching Controls

Mathematics
In this paper, a two-player nonzero-sum stochastic differential game problem is studied with both players using switching controls. A verification theorem associated with a set of variational inequalities is established as a sufficient criterion for Nash
Yongxin Liu, Hui Min
doaj   +1 more source

Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application

Advances in Difference Equations, 2017
This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information.
Yi Zhuang
doaj   +1 more source

Backward-forward linear-quadratic mean-field Stackelberg games

Advances in Difference Equations, 2021
This paper studies a controlled backward-forward linear-quadratic-Gaussian (LQG) large population system in Stackelberg games. The leader agent is of backward state and follower agents are of forward state.
Kehan Si, Zhen Wu
doaj   +1 more source

A stochastic differential reinsurance game [PDF]

Journal of Applied Probability, 2010
We study a stochastic differential game between two insurance companies who employ reinsurance to reduce the risk of exposure. Under the assumption that the companies have large insurance portfolios compared to any individual claim size, their surplus processes can be approximated by stochastic differential equations.
openaire   +2 more sources

Existence of Nash Equilibrium Points for Markovian Nonzero-sum Stochastic Differential Games with Unbounded Coefficients

, 2014
This paper is related to nonzero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition.
Hamadène, Said, Mu, Rui
core   +1 more source