22 research outputs found
Zero-Sum Stochastic Games with Partial Information and Average Payoff
We consider discrete time partially observable zero-sum stochastic game with
average payoff criterion. We study the game using an equivalent completely
observable game. We show that the game has a value and also we come up with a
pair of optimal strategies for both the players.Comment: Journal of Optimization Theory and Applications, 201
Central Limit Results for Jump-Diffusions with Mean Field Interaction and a Common Factor
A system of weakly interacting particles whose dynamics is given in terms
of jump-diffusions with a common factor is considered. The common factor is
described through another jump-diffusion and the coefficients of the evolution
equation for each particle depend, in addition to its own state value, on the
empirical measure of the states of the particles and the common factor. A
Central Limit Theorem, as , is established. The limit law is
described in terms of a certain Gaussian mixture. An application to models in
Mathematical Finance of self-excited correlated defaults is described