A Stochastic Control Approach for Constrained Stochastic Differential Games with Jumps and Regimes [PDF]
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 +4 more sources
Coalitional Stochastic Differential Games for Networks
IEEE Control Systems Letters, 2022 We consider a networked stochastic cooperative differential game by incorporating two types of networks that allow us to study both the dynamic coupling among decision-makers and their strategic interaction.
Quanyan Zhu, Julian Barreiro-Gomez
exaly +3 more sources
On the Population Size in Stochastic Differential Games [PDF]
Notices of the American Mathematical Society, 2023 Commuters looking for the shortest path to their destinations, the security of networked computers, hedge funds trading on the same stocks, governments and populations acting to mitigate an epidemic, or employers and employees agreeing on a contact, are ...
Dylan Possamai, Ludovic Tangpi
semanticscholar +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 +4 more sources
Analyzing reciprocity dynamics in supply chains of public goods: a stochastic evolutionary game approach [PDF]
PeerJ Computer ScienceTo start with an infinitely repeated game of supply chains of public goods, a stout reciprocity mechanism is introduced into income games to build a matric dynamic equation.
Simo Sun, Man Wang, Yi Lei
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Deep Fictitious Play for Stochastic Differential Games [PDF]
Communications in Mathematical Sciences, 2019 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 ...
Ruimeng Hu
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Present-biased lobbyists in linear–quadratic stochastic differential games [PDF]
Finance and Stochastics, 2023 We investigate a linear–quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind farm. Players are time-inconsistent because they discount the utility with a non-constant rate. Our objective is to identify
A. Lazrak, Hanxiao Wang, J. Yong
semanticscholar +1 more source
Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions [PDF]
at - Automatisierungstechnik, 2022 In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions.
Siyu Lv, J. Xiong, Xin Zhang
semanticscholar +1 more source
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
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Nonzero-sum risk-sensitive stochastic differential games: A multi-parameter eigenvalue problem approach [PDF]
Systems & control letters (Print), 2022 We study nonzero-sum stochastic differential games with risk-sensitive ergodic cost criterion. Under certain conditions, using multi-parameter eigenvalue approach, we establish the existence of a Nash equilibrium in the space of stationary Markov ...
M. K. Ghosh +3 more
semanticscholar +1 more source