6 citations · 12 across the 6 of their papers we have counts for
6 papers
Stochastic Games with Minimally Bounded Action Costs
David Mguni
In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at…
Stochastic Potential Games
David Mguni
Computing the Nash equilibrium (NE) for N-player non-zerosum stochastic games is a formidable challenge. Currently, algorithmic methods in stochastic game theory are unable to comp…
Duopoly Investment Problems with Minimally Bounded Adjustment Costs
David Mguni
In this paper, we study two-player investment problems with investment costs that are bounded below by some fixed positive constant. We seek a description of optimal investment str…
Optimal Capital Injections with the Risk of Ruin: A Stochastic Differential Game of Impulse Control and Stopping Approach
David Mguni
We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time t…
Optimal Selection of Transaction Costs in a Dynamic Principal-Agent Problem
David Mguni
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq are widespread within economic systems. The presence of fixed minimal adjustment costs pr…
A Viscosity Approach to Stochastic Differential Games of Control and Stopping Involving Impulsive Control
David Mguni
This paper analyses a stochastic differential game of control and stopping in which one of the players modifies a diffusion process using impulse controls, an adversary then choose…