We consider a non zero sum stochastic differential game with a maximum n players, where the players control a diffusion in order to minimisena certain cost functional. During the game it is possible that present players ...

In this paper, we consider an N-player interacting strategic game in the presence of a (endogenous) dominating player, who gives direct influence on individual agents, through its impact on their control in the sense of ...

For stochastic Stackelberg differential games played by a leader and a follower, there are several solution concepts in terms of the players' information sets. In this paper we derive the maximum principle for the leader's ...

In this paper, we study the time consistent strategies in the mean-variance portfolio selection with short-selling prohibition in both discrete and continuous time settings. Recently, [T. Björk, A. Murgoci, and X. Y. Zhou, ...

We consider stochastic optimal control problems with an additional term representing the variance of the control functions. The latter one may serve as a risk control. We present and treat the problem in a purely analytical ...

We continue to study the problem of inventory control, with simultaneous pricing optimization in continuous time. In our previous paper [8], we considered the case without set up cost, and established the optimality of the ...

We develop an improved model of capital investment under uncertainty that incorporates the variance of the capital stock in the payoff functional to manage risk. Our model results in a mean field type control problem that ...

This short note clarifies how the Stackelberg leader’s competitive advantage after the follower’s entry affects the leader’s optimal market entry decision and Stackelberg strategic interactions under uncertainty. Although ...

To investigate the impact of macroeconomic conditions on irreversible investments under a regime switching model, our main effort in this work is to rigorously justify the existence and uniqueness of optimal threshold-type ...

In this study, we provide an alternative approach for proving the preservation of concavity together with submodularity, and apply it to finite-horizon non-stationary joint inventory-pricing models with general demands. ...