Results 121 to 130 of about 9,860 (188)

On a problem of stochastic differential games

Journal of Optimization Theory and Applications, 1976
The process of bargaining between management and union during a strike is modelled by a nonlinear stochastic differential game. It is assumed that the two sides bargain in the mood of a cooperative game. A pair of Pareto-optimal strategies is obtained.
openaire   +1 more source

Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps

International Journal of Control, 2021
We study a kind of time-inconsistent linear-quadratic non-zero sum stochastic differential game problems with random jumps. The time-inconsistency arises from the presence of a quadratic term of the expected state and a state-dependent term, as well as ...
Haiyang Wang, Zhen Wu
semanticscholar   +1 more source

Stochastic differential portfolio games

Journal of Applied Probability, 1998
We study stochastic dynamic investment games in continuous time between two investors (players) who have available two different, but possibly correlated, investment opportunities. There is a single payoff function which depends on both investors’ wealth processes.
openaire   +1 more source

Optimal Play in a Stochastic Differential Game

SIAM Journal on Control and Optimization, 1981
This paper considers play in a two-person zero-sum differential game where the dynamics are given by a differential equation with additive white noise. Feedback strategies are employed. Standard results from control theory show that the maximizing player has an optimal response to any pre-announced strategy of the minimizing player.
Elliott, R. J., Davis, M. H. A.
openaire   +2 more sources

Switching Games of Stochastic Differential Systems

SIAM Journal on Control and Optimization, 2007
A two-player, zero-sum, switching game is formulated for general stochastic differential systems and is studied using a combined dynamic programming and viscosity solution approach. The existence of the game value is proved. For the proof of the related dynamic programming principle (DDP) for the lower and upper value functions, the measurability ...
Tang, S, Hou, SH
openaire   +2 more sources

Long-Time Behavior of Zero-Sum Linear-Quadratic Stochastic Differential Games

SIAM Journal of Control and Optimization
The paper investigates the long-time behavior of zero-sum linear-quadratic stochastic differential games, aiming to demonstrate that, under appropriate conditions, both the saddle strategy and the optimal state process exhibit the exponential turnpike ...
Jingrui Sun, Jiongmin Yong
semanticscholar   +1 more source

An Inverse Problem for Adaptive Linear Quadratic Stochastic Differential Games

IEEE Conference on Decision and Control
In this paper, we consider an inverse problem for adaptive two-player stochastic linear quadratic differential games where the cost functions of players are unknown to each other, which arise in many practical situations but have rarely been explored ...
Zhixing Chen, Lei Guo
semanticscholar   +1 more source

Numerical Approximations for Stochastic Differential Games

SIAM Journal on Control and Optimization, 2002
The Markov chain approximation method [see for example \textit{H. J. Kushner} and \textit{P. Dupuis}, ``Numerical methods for stochastic control problems in continuous time'' (2001; Zbl 0968.93005)] is a widely used method for the numerical solution for standard forms of stochastic control problems with reflected-jump diffusion models, and converges ...
openaire   +1 more source

Finite-Agent Stochastic Differential Games on Large Graphs: I. The Linear-Quadratic Case

Applied Mathematics and Optimization
In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions.
R. Hu, Jihao Long, Haosheng Zhou
semanticscholar   +1 more source

Stochastic Differential Game Techniques

1981
The paper deals with the theory of stochastic differential games and includes a comprehensive review of the subject under discussion. The main aspects of stochastic differential games discussed in the paper are: problem formulation, solution concepts and the difficulties encountered in trying to obtain a solution.
openaire   +2 more sources