Results 1 to 10 of about 102 (99)

A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes

Mathematics, 2023
We develop an approach for two-player constraint zero-sum and nonzero-sum stochastic differential games, which are modeled by Markov regime-switching jump-diffusion processes.
Emel Savku
doaj   +3 more sources

Stochastic Differential Games in a Non-Markovian Setting [PDF]

SIAM Journal on Control and Optimization, 2005
To appear in the SIAM Journal on Control and ...
Erhan Bayraktar
exaly   +6 more sources

Modeling and Computation of Transboundary Industrial Pollution with Emission Permits Trading by Stochastic Differential Game. [PDF]

PLoS ONE, 2015
Transboundary industrial pollution requires international actions to control its formation and effects. In this paper, we present a stochastic differential game to model the transboundary industrial pollution problems with emission permits trading.
Shuhua Chang, Xinyu Wang, Zheng Wang
doaj   +1 more source

Backward Stackelberg Games with Delay and Related Forward–Backward Stochastic Differential Equations

Mathematics, 2023
In this paper, we study a kind of Stackelberg game where the controlled systems are described by backward stochastic differential delayed equations (BSDDEs).
Li Chen, Peipei Zhou, Hua Xiao
doaj   +1 more source

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
openaire   +4 more sources

Tug of War games and PDEs on graphs with applications in image and high dimensional data processing

Scientific Reports, 2023
The aim of this note is to revisit the connections between some stochastic games, namely Tug-of-War games, and a class of nonlocal PDEs on graphs. We consider a general formulation of Tug-of-War games which is shown to be related to many classical PDEs ...
Hamza Ennaji, Yvain Quéau, Abderrahim Elmoataz   +2 more
doaj   +1 more source

Multi-Player Non-Cooperative Game Strategy of a Nonlinear Stochastic System with Time-Varying Parameters

Axioms, 2023
This paper discusses the multi-player non-cooperative game of nonlinear stochastic time-varying systems described by Itô-type differential equations in a finite time interval.
Xiangyun Lin, Tongtong Zhang, Meilin Li, Rui Zhang, Weihai Zhang   +4 more
doaj   +1 more source

Constrained stochastic differential games with Markovian switchings and additive structure: The total expected payoff

Results in Control and Optimization, 2023
The main objective of this work is to give conditions for the existence of Nash equilibria for a nonzero-sum constrained stochastic differential game with additive structure and Markovian switchings.
Beatris Adriana Escobedo-Trujillo, José Daniel López-Barrientos, Javier Garrido, Darío Colorado-Garrido, José Vidal Herrera-Romero   +4 more
doaj   +1 more source

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
doaj   +1 more source

A Game—Theoretic Model for a Stochastic Linear Quadratic Tracking Problem

Axioms, 2023
In this paper, we solve a stochastic linear quadratic tracking problem. The controlled dynamical system is modeled by a system of linear Itô differential equations subject to jump Markov perturbations.
Vasile Drăgan, Ivan Ganchev Ivanov, Ioan-Lucian Popa   +2 more
doaj   +1 more source