Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userRobust Pairwise n-Person Stochastic Duel Game
55
0
0.0
(
0
)
Authors
Song-Kyoo Kim
Ask ChatGPT about the research
No Arabic abstract
This paper is dealing with another multiple person game model under the antagonistic duel type setup. The most flexible multiple person duel game is analytically solved and the explicit formulas are solved to determine the time dependent duel game model by using the first exceed theory. Unlike conventional two-person duel game, multiple battle fields are introduced in the paper and each battle field becomes shooting ground of pairwise players. This model is targeted for real-world situations especially for selected target shooting scenarios. An analogue of the theory in the paper is designed for solving the best shooting time within multiple battle fields. This new proposed model is fully mathematically explained to be adapted in various domains including the strategies and operations.
rate research
Read More
This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors. The uncertainty stems from the probability measure chosen by an investor to evaluate the performance. We obtain directly the representation of the homothetic robust forward performance processes in factor-form by combining the zero-sum stochastic differential game and ergodic BSDE approach. We also establish the connections with the risk-sensitive zero-sum stochastic differential games over an infinite horizon with ergodic payoff criteria, as well as with the classical robust expected utilities for long time horizons. Finally, we give an example to illustrate that our approach can be applied to address a type of robust forward investment performance processes with negative realization processes.
We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a FBSDE with possibly singular terminal condition on the backward component or, equivalently, in terms of a FBSDE with finite terminal value, yet singular driver. Extending the method of continuation to linear-quadratic FBSDE with singular driver we prove that the MFG has a unique solution. Our existence and uniqueness result allows to prove that the MFG with possibly singular terminal condition can be approximated by a sequence of MFGs with finite terminal values.
In this paper, a nonlinear revision protocol is proposed and embedded into the traffic evolution equation of the classical proportional-switch adjustment process (PAP), developing the present nonlinear pairwise swapping dynamics (NPSD) to describe the selfish rerouting evolutionary game. It is demonstrated that i) NPSD and PAP require the same amount of network information acquisition in the route-swaps, ii) NPSD is able to prevent the over-swapping deficiency under a plausible behavior description; iii) NPSD can maintain the solution invariance, which makes the trial and error process to identify a feasible step-length in a NPSD-based swapping algorithm is unnecessary, and iv) NPSD is a rational behavior swapping process and the continuous-time NPSD is globally convergent. Using the day-to-day NPSD, a numerical example is conducted to explore the effects of the reaction sensitivity on traffic evolution and characterize the convergence of discrete-time NPSD.
We study the convergence to equilibrium of an underdamped Langevin equation that is controlled by a linear feedback force. Specifically, we are interested in sampling the possibly multimodal invariant probability distribution of a Langevin system at small noise (or low temperature), for which the dynamics can easily get trapped inside metastable subsets of the phase space. We follow [Chen et al., J. Math. Phys. 56, 113302, 2015] and consider a Langevin equation that is simulated at a high temperature, with the control playing the role of a friction that balances the additional noise so as to restore the original invariant measure at a lower temperature. We discuss different limits as the temperature ratio goes to infinity and prove convergence to a limit dynamics. It turns out that, depending on whether the lower (target) or the higher (simulation) temperature is fixed, the controlled dynamics converges either to the overdamped Langevin equation or to a deterministic gradient flow. This implies that (a) the ergodic limit and the large temperature separation limit do not commute in general, and that (b) it is not possible to accelerate the speed of convergence to the ergodic limit by making the temperature separation larger and larger. We discuss the implications of these observation from the perspective of stochastic optimisation algorithms and enhanced sampling schemes in molecular dynamics.
As most natural resources, fisheries are affected by random disturbances. The evolution of such resources may be modelled by a succession of deterministic process and random perturbations on biomass and/or growth rate at random times. We analyze the impact of the characteristics of the perturbations on the management of natural resources. We highlight the importance of using a dynamic programming approach in order to completely characterize the optimal solution, we also present the properties of the controlled model and give the behavior of the optimal harvest for specific jump kernels.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
