Results 21 to 30 of about 9,860 (188)
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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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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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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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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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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A Stochastic Differential Game in the Orthrant
Journal of Mathematical Analysis and Applications, 2002 This paper concerns a zero-sum stochastic differential game on the nonnegative orthrant. The corresponding dynamical systems is a stochastic differential equation where players control act only on the drift terms (and not on the diffusion term), also the bijectories are reflected on the boundary of the orthrant.
Ghosh, Mrinal K, Kumar, Suresh K
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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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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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IEEE Access, 2022 Nowadays, electrical power grids are facing increased penetration of renewable energy sources (RES), which result in increasing level of randomness and uncertainties for its operational quality.
Souhil Mouassa +3 more
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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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