Results 1 to 10 of about 39,851 (271)
Mean field games with common noise [PDF]
, 2015 A theory of existence and uniqueness is developed for general stochastic differential mean field games with common noise. The concepts of strong and weak solutions are introduced in analogy with the theory of stochastic differential equations, and ...
Carmona, Rene +2 more
core +4 more sources
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 +3 more
doaj +1 more source
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
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
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.
openaire +2 more sources
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 +2 more
core +3 more sources
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.
openaire +2 more sources
Singular mean-field control games with applications to optimal harvesting and investment problems [PDF]
, 2014 This paper studies singular mean field control problems and singular mean field stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium are obtained.
Hu, Yaozhong +2 more
core +6 more sources
A Class of Pursuit Problems in 3D Space via Noncooperative Stochastic Differential Games
AerospaceThis 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