Zobrazeno 1 - 10
of 47
pro vyhledávání: '"Said Hamadène"'
Autor:
Said, Hamadene, Mohammed, Hassani
In this paper we study the N-player nonzero-sum Dynkin game ($N\geq 3$) in continuous time, which is a non-cooperative game where the strategies are stopping times. We show that the game has a Nash equilibrium point for general payoff processes.
Externí odkaz:
http://arxiv.org/abs/1110.5889
Publikováno v:
Dynamic Games and Applications.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3d369722d61404e1b00c651bf05e02c1
https://doi.org/10.1007/s13235-023-00500-3
https://doi.org/10.1007/s13235-023-00500-3
Publikováno v:
Stochastics. 94:51-85
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several char...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4ba7c35ec74fad3097f2925b5b3fc318
https://doi.org/10.1080/17442508.2021.1914618
https://doi.org/10.1080/17442508.2021.1914618
Autor:
Said Hamadène, Rui Mu
Publikováno v:
Stochastic Processes and their Applications. 130:6901-6926
In this paper, we study a nonzero-sum stochastic differential game in the Markovian framework. We show the existence of a discontinuous Nash equilibrium point for this game. The main tool is the notion of backward stochastic differential equations wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fdb913156ab749e306080b1b7e9dabac
https://doi.org/10.1016/j.spa.2020.07.003
https://doi.org/10.1016/j.spa.2020.07.003
Autor:
Rui Mu, Said Hamadène
Publikováno v:
Dynamic Games and Applications. 11:84-108
This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players towards risks, and the utilities are of exponential forms. We show the existence
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::03b0b8ae548c951e9676e2b702b39854
https://doi.org/10.1007/s13235-020-00353-0
https://doi.org/10.1007/s13235-020-00353-0
Publikováno v:
Advances in Applied Probability. 51:425-442
In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the players' swi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2d089dabf6655b54e01d80bb9aaee4e1
https://doi.org/10.1017/apr.2019.19
https://doi.org/10.1017/apr.2019.19
Autor:
Said Hamadène, Tingshu Mu
Publikováno v:
Bulletin des Sciences Mathématiques
Bulletin des Sciences Mathématiques, Elsevier, 2020, 161, pp.102854-. ⟨10.1016/j.bulsci.2020.102854⟩
Bulletin des Sciences Mathématiques, Elsevier, 2020, 161, pp.102854-. ⟨10.1016/j.bulsci.2020.102854⟩
This paper is related to the study of systems of reflected backward stochastic differential equations with interconnected bilateral obstacles. These systems are connected with zero-sum stochastic switching games. Under appropriate assumptions, we pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::83240f3892e6328236f416dbc1b8ee5b
https://hal.archives-ouvertes.fr/hal-03489351
https://hal.archives-ouvertes.fr/hal-03489351
Publikováno v:
Journal of Mathematical Analysis and Applications. 452:148-175
In this paper, we deal with the solutions of systems of PDEs with bilateral interconnected obstacles of min–max and max–min types. These systems arise naturally in stochastic switching zero-sum game problems. We show that when the switching costs
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1061ef8e76d006857c1fb3a22d244b6c
https://doi.org/10.1016/j.jmaa.2017.02.025
https://doi.org/10.1016/j.jmaa.2017.02.025
In this paper, we study a system of second order integro-partial differential equations with interconnected obstacles with non-local terms, related to an optimal switching problem with the jump-diffusion model. Getting rid of the monotonicity conditi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ca0bb7ab52a181cdf7b76309711ca0d3
http://arxiv.org/abs/1905.05426
http://arxiv.org/abs/1905.05426
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the notion of Sn
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::70f6ccbec2cb55694d37d421d839dd78
http://arxiv.org/abs/1904.11924
http://arxiv.org/abs/1904.11924