Displaying similar documents to “Nash equilibrium payoffs for stochastic differential games with reflection”

Differential games of partial information forward-backward doubly SDE and applications

Eddie C. M. Hui, Hua Xiao (2014)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper addresses a new differential game problem with forward-backward doubly stochastic differential equations. There are two distinguishing features. One is that our game systems are initial coupled, rather than terminal coupled. The other is that the admissible control is required to be adapted to a subset of the information generated by the underlying Brownian motions. We establish a necessary condition and a sufficient condition for an equilibrium point of nonzero-sum games...

A note on 'Big Match'

Jean-Michel Coulomb (2010)

ESAIM: Probability and Statistics

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We present a very simple proof of the existence of the value for 'Big Match' first shown by Blackwell and Ferguson (1968).

Existence of Nash equilibria in two-person stochastic games of resource extraction

P. Szajowski (2006)

Banach Center Publications

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This paper deals with two-person stochastic games of resource extraction under both the discounted and the mean payoff criterion. Under some concavity and additivity assumptions concerning the payoff and the transition probability function a stationary Nash equilibrium is shown to exist. The proof is based on Schauder-Tychonoff's fixed point theorem, applied to a suitable payoff vector space.

A two armed bandit type problem revisited

Gilles Pagès (2010)

ESAIM: Probability and Statistics

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In Benaïm and Ben Arous (2003) is solved a multi-armed bandit problem arising in the theory of learning in games. We propose a short and elementary proof of this result based on a variant of the Kronecker lemma.

Stochastic stability in spatial games

Jacek Miękisz (2008)

Banach Center Publications

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We compare two concepts of stochastic stability in spatial games. The classical approach to stochastic stability, introduced by Foster and Young [8], involves single configurations in the zero-noise limit. Ensemble stability discussed in [17] refers to ensembles of configurations in the limit of an infinite number of players. The above two limits may not commute. We will discuss reasons of such behaviour. We review some results concerning the effect of the number of players and the noise...

Weak infinitesimal operators and stochastic differential games.

Ramón Ardanuy, A. Alcalá (1992)

Stochastica

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This article considers the problem of finding the optimal strategies in stochastic differential games with two players, using the weak infinitesimal operator of process xi the solution of d(xi) = f(xi,t,u,u)dt + sigma(xi,t,u,u)dW. For two-person zero-sum stochastic games we formulate the minimax solution; analogously, we perform the solution for coordination and non-cooperative stochastic differential games.

Regularization method for stochastic mathematical programs with complementarity constraints

Gui-Hua Lin, Masao Fukushima (2010)

ESAIM: Control, Optimisation and Calculus of Variations

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In this paper, we consider a class of stochastic mathematical programs with equilibrium constraints (SMPECs) that has been discussed by Lin and Fukushima (2003). Based on a reformulation given therein, we propose a regularization method for solving the problems. We show that, under a weak condition, an accumulation point of the generated sequence is a feasible point of the original problem. We also show that such an accumulation point is S-stationary to the problem under additional...

Interplay of simple stochastic games as models for the economy

Garibaldi, Ubaldo, Radivojević, Tijana, Scalas, Enrico

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Using the interplay among three simple exchange games, one may give a satisfactory representation of a conservative economic system where total wealth and number of agents do not change in time. With these games it is possible to investigate the emergence of statistical equilibrium in a simple pure-exchange environment. The exchange dynamics is composed of three mechanisms: a decentralized interaction, which mimics the pair-wise exchange of wealth between two economic agents, a failure...