Results 21 to 30 of about 39,851 (271)
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
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Mathematics, 2022 In this paper, we consider the two-player state and control path-dependent stochastic zero-sum differential game. In our problem setup, the state process, which is controlled by the players, is dependent on (current and past) paths of state and control ...
Jun Moon
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Mean-Field Type Games between Two Players Driven by Backward Stochastic Differential Equations
Games, 2018 In this paper, mean-field type games between two players with backward stochastic dynamics are defined and studied. They make up a class of non-zero-sum, non-cooperating, differential games where the players’ state dynamics solve backward ...
Alexander Aurell
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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
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On modeling blockchain-enabled economic networks as stochastic dynamical systems
Applied Network Science, 2020 Blockchain networks have attracted tremendous attention for creating cryptocurrencies and decentralized economies built on peer-to-peer protocols. However, the complex nature of the dynamics and feedback mechanisms within these economic networks has ...
Zixuan Zhang +2 more
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Cemracs 2017: numerical probabilistic approach to MFG [PDF]
ESAIM: Proceedings and Surveys, 2019 This project investigates numerical methods for solving fully coupled forward-backward stochastic differential equations (FBSDEs) of McKean-Vlasov type.
Angiuli Andrea +5 more
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Mean-field linear-quadratic stochastic differential games [PDF]
Journal of Differential Equations, 2021 The paper is concerned with two-person zero-sum mean-field linear-quadratic stochastic differential games over finite horizons. By a Hilbert space method, a necessary condition and a sufficient condition are derived for the existence of an open-loop saddle point.
Jingrui Sun, Hanxiao Wang, Zhen Wu
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Stochastic Differential Games in a Non-Markovian Setting [PDF]
, 2005 Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian.
Bayraktar, Erhan, Poor, H. Vincent
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Mathematics, 2021 In this paper, we examine a sampled-data Nash equilibrium strategy for a stochastic linear quadratic (LQ) differential game, in which admissible strategies are assumed to be constant on the interval between consecutive measurements.
Vasile Drăgan +3 more
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A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides [PDF]
, 2017 We prove that for a class of zero-sum differential games with incomplete information on both sides, the value admits a probabilistic representation as the value of a zero-sum stochastic differential game with complete information, where both players ...
Gensbittel, Fabien, Rainer, Catherine
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