108 citations · 345 across the 44 of their papers we have counts for
12 papers · 1 filter
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes
Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the…
Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems
Yu-Jui Huang, Zhenhua Wang, Zhou Zhou
For a general entropy-regularized stochastic control problem on an infinite horizon, we prove that a policy iteration algorithm (PIA) converges to an optimal relaxed control. Contr…
Stability of Equilibria in Time-inconsistent Stopping Problems
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions and transition kernels for time-inconsistent stopping problems…
A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria
Yu-Jui Huang, Zhou Zhou
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. Fir…
Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games
Beniamin Goldys, James Yang, Zhou Zhou
We investigate a class of zero-sum linear-quadratic stochastic differential games on a finite time horizon governed by multiscale state equations. The multiscale nature of the prob…
Multiscale Linear-Quadratic Stochastic Optimal Control With Multiplicative Noise
Beniamin Goldys, Gianmario Tessitore, James Yang +1
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian no…
Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time
Yu-Jui Huang, Zhou Zhou
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parall…
Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time
Yu-Jui Huang, Zhou Zhou
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other…
The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case
Yu-Jui Huang, Zhou Zhou
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subg…
Multi-player stopping games in continuous time
Zhou Zhou
We consider multi-player stopping games in continuous time. Unlike Dynkin games, in our games the payoff of each player is revealed after all the players stop. Moreover, each playe…
Non-zero-sum stopping games in discrete time
Zhou Zhou
We consider two-player non-zero-sum stopping games in discrete time. Unlike Dynkin games, in our games the payoff of each player is revealed after both players stop. Moreover, each…
Non-zero-sum stopping games in continuous time
Zhou Zhou
On a filtered probability space , we consider the two-player non-zero-sum stopping game $u^i := \mathbb{E}[U^i(ρ,τ)],…