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Reinforcement learning and stochastic optimisation
Jaimungal, Sebastian - In: Finance and stochastics 26 (2022) 1, pp. 103-129
Persistent link: https://www.econbiz.de/10012796477
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Computing uniformly optimal strategies in two-player stochastic games
Solan, Eilon; Vieille, Nicolas - In: Economic theory : official journal of the Society for … 42 (2010) 1, pp. 237-253
Persistent link: https://www.econbiz.de/10003935571
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Mutual fund competition in the presence of dynamic flows
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...
Persistent link: https://www.econbiz.de/10003962143
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A characterization of stationary Nash equilibria of constrained stochastic games with independent state processes
Vikas Vikram Singh; Hemachandra, N. - In: Operations research letters 42 (2014) 1, pp. 48-52
Persistent link: https://www.econbiz.de/10010259252
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Stochastic target games and dynamic programming via regularized viscosity solutions
Bouchard, Bruno; Nutz, Marcel - In: Mathematics of operations research 41 (2016) 1, pp. 109-124
Persistent link: https://www.econbiz.de/10011448306
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Advances in zero-sum dynamic games
Laraki, Rida; Sorin, Sylvain - 2015
Persistent link: https://www.econbiz.de/10011498292
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Decision & control in management science : essays in honor of Alan Haurie
Haurie, Alain (honouree); Zaccour, Georges (ed.);  … - 2002
Persistent link: https://www.econbiz.de/10001663529
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Deterministic approximation of stochastic evolution in games
Benaïm, Michel; Weibull, Jörgen W. - 2000
Persistent link: https://www.econbiz.de/10001486669
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Saddle-point calculation for constrained finite Markov chains
Gómez-Ramírez, E.; Najim, K.; Poznjak, Aleksandr S. - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1833-1853
Persistent link: https://www.econbiz.de/10001755434
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Deterministic approximation of stochastic evolution in games
Benaïm, Michel; Weibull, Jörgen W. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 3, pp. 873-903
Persistent link: https://www.econbiz.de/10001769699