The role of correlation in diffusion control ranking games

DOI10.1137/23M1574336MaRDI QIDQ6545038zbMATH OpenFDO

Authors Stefan Ankirchner, Nabil Kazi-Tani, Julian Wendt

Publication date 29 May 2024

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1574336

zbMATH Keywords

correlationdiffusion controlrank-based rewardrelaxed controlstochastic differential game

Mathematics Subject Classification ID

2-person games (91A05) Noncooperative games (91A10) Stochastic games, stochastic differential games (91A15)

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Cited in

(5)

• Large ranking games with diffusion control
• Mean-field ranking games with diffusion control
• Two-player diffusion control games with private information
• Existence of optimal controls for stochastic Volterra equations
• Randomisation with moral hazard: a path to existence of optimal contracts

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