Results 11 to 20 of about 48,378 (305)
Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty [PDF]
Journal of Optimization Theory and Applications, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Øksendal, Bernt, Sulem, Agnès
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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
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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 +2 more
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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 +4 more
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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 +4 more
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Global existence for quadratic FBSDE systems and application to stochastic differential games [PDF]
Electronic Communications in Probability, 2021 In this note, we extend some recent results on systems of backward stochastic differential equations (BSDEs) with quadratic growth to the case of coupled forward-backward stochastic differential equations (FBSDEs). We work in a Markovian setting, and use
Joe Jackson
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Nonlocality, nonlinearity, and time inconsistency in stochastic differential games [PDF]
Social Science Research Network, 2021 This paper studies the well‐posedness of a class of nonlocal fully nonlinear parabolic systems, which nest the equilibrium Hamilton–Jacobi–Bellman (HJB) systems that characterize the time‐consistent Nash equilibrium point of a stochastic differential ...
Qian Lei, Chi Seng Pun
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Stochastic Differential Games with Asymmetric Information [PDF]
Applied Mathematics and Optimization, 2008 We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual solutions of some second order Hamilton-Jacobi equation.
Cardaliaguet, Pierre, Rainer, Catherine
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Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs [PDF]
Journal of Mathematical Analysis and Applications, 2021 We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously.
M. Perninge
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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 +2 more
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