Results 31 to 40 of about 9,860 (188)

Backward-forward linear-quadratic mean-field Stackelberg games

Advances in Difference Equations, 2021
This paper studies a controlled backward-forward linear-quadratic-Gaussian (LQG) large population system in Stackelberg games. The leader agent is of backward state and follower agents are of forward state.
Kehan Si, Zhen Wu
doaj   +1 more source

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 ...
openaire   +1 more source

A Class of Pursuit Problems in 3D Space via Noncooperative Stochastic Differential Games

Aerospace
This 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
doaj   +1 more source

Mean-field linear-quadratic stochastic differential games in an infinite horizon [PDF]

E S A I M: Control, Optimisation and Calculus of Variations, 2020
This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced.
Xunjing Li, Jingtao Shi, J. Yong
semanticscholar   +1 more source

Stochastic Differential Games

Journal of Differential Equations, 1972
Consider a stochastic differential system of \(m\) equations \[ d\xi(t)=f(t,\xi(t), y_1,\ldots, y_N)\,dt+ \sigma(t, \xi(t))\,dw(t),\quad \xi(s) =x_0, \] where the player \(y_i\) chooses a control function with values in a control set \(Y_i\). Denote by \(\tau\) the exit time of \(\xi(t)\) from a cylinder \(\{s
openaire   +1 more source

Two-Player Nonzero-Sum Stochastic Differential Games with Switching Controls

Mathematics
In this paper, a two-player nonzero-sum stochastic differential game problem is studied with both players using switching controls. A verification theorem associated with a set of variational inequalities is established as a sufficient criterion for Nash
Yongxin Liu, Hui Min
doaj   +1 more source

Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application

Advances in Difference Equations, 2017
This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information.
Yi Zhuang
doaj   +1 more source

Variance optimality in constrained and unconstrained stochastic differential games

Results in Control and Optimization
The purpose of this paper is to extend the variance optimality criterion to the settings of constrained and unconstrained two-person stochastic differential games.
Beatris Adriana Escobedo-Trujillo, José Daniel López-Barrientos, Dario Colorado-Garrido, Francisco Alejandro Alaffita-Hernández   +3 more
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Stochastic Differential Games and a Unified Forward–Backward Coupled Stochastic Partial Differential Equation with Lévy Jumps

Mathematics
We establish a relationship between stochastic differential games (SDGs) and a unified forward–backward coupled stochastic partial differential equation (SPDE) with discontinuous Lévy Jumps. The SDGs have q players and are driven by a general-dimensional
Wanyang Dai
doaj   +1 more source

Differential Games of Cournot Oligopoly with Consideration of Pollution, Network Structure, and Continuous Updating

Games
We have built and investigated analytically and numerically a differential game model of Cournot oligopoly with consideration of pollution, network structure, and continuous updating.
Guennady Ougolnitsky, Alexey Korolev
doaj   +1 more source