Results 21 to 30 of about 39,843 (280)
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 games with common noise [PDF]
, 2015 A theory of existence and uniqueness is developed for general stochastic differential mean field games with common noise. The concepts of strong and weak solutions are introduced in analogy with the theory of stochastic differential equations, and ...
Carmona, Rene +2 more
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Deep fictitious play for stochastic differential games [PDF]
Communications in Mathematical Sciences, 2021 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 we refer as \emph{deep fictitious play}, a multi-stage learning process.
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Iterative strategies for solving linearized discrete mean field games systems
Networks and Heterogeneous Media, 2012 Mean fields games (MFG) describe the asymptotic behavior of stochastic differential games in which thenumber of players tends to $+\infty$. Under suitable assumptions,they lead to a new kind of system of two partial differential equations: a forward ...
Yves Achdou, Victor Perez
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Stochastic optimal control and stochastic differential Games [PDF]
, 2021 Η παρούσα διατριβή χωρίζεται σε δύο μέρη. Το πρώτο μέρος ξεκινάει με την κατασκευή μίας νέας προσέγγισης για την μελέτη του προβλήματος του καθορισμού της βέλτιστης επενδυτικής πολιτικής κάτω από την ύπαρξη εσωτερικής πληροφόρησης. Η προσέγγιση αυτή βασίζεται κυρίως σε τεχνικές της θεωρίας στοχαστικού ελέγχου και πιο συγκεκριμένα στην χρήση της ...
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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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Smale Strategies for Network Prisoner's Dilemma Games [PDF]
, 2015 Smale's approach \cite{Smale80} to the classical two-players repeated Prisoner's Dilemma game is revisited here for $N$-players and Network games in the framework of Blackwell's approachability, stochastic approximations and differential ...
Behrstock, Kashi +2 more
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N-Player Stochastic Differential Games [PDF]
SIAM Journal on Control and Optimization, 1976 The paper presents conditions which guarantee that the control strategies adopted by N players constitute an efficient solution, an equilibrium, or a core solution. The system dynamics are described by an Ito equation, and all players have perfect information.
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A Class of Pursuit Problems in 3D Space via Noncooperative Stochastic Differential Games
AerospaceThis paper investigates three-dimensional pursuit problems in noncooperative stochastic differential games. By introducing a novel polynomial value function capable of addressing high-dimensional dynamic systems, the forward–backward stochastic ...
Yu Bai, Di Zhou, Zhen He
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Mathematics, 2020 We consider the indefinite, linear-quadratic, mean-field-type stochastic zero-sum differential game for jump-diffusion models (I-LQ-MF-SZSDG-JD).
Jun Moon, Wonhee Kim
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