Related papers: Equilibrium policies when preferences are time inc…
The overall aim of our research is to develop techniques to reason about the equilibrium properties of multi-agent systems. We model multi-agent systems as concurrent games, in which each player is a process that is assumed to act…
Frequency non-selective time-selective multiple access channels in which transmitters can freely choose their power control policy are considered. The individual objective of the transmitters is to maximize their averaged energy-efficiency.…
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
We present an accelerated algorithm for the solution of static Hamilton-Jacobi-Bellman equations related to optimal control problems. Our scheme is based on a classic policy iteration procedure, which is known to have superlinear…
This paper studies the mean-field Markov decision process (MDP) with the centralized stopping under the non-exponential discount. The problem differs fundamentally from most existing studies on mean-field optimal control/stopping due to its…
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the stochastic dynamics of the debt-to-GDP ratio via singular…
We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents. We assume that the time horizon is random and each agent's risk aversion depends dynamically on the…
This paper investigates the optimal control problems for the finite-horizon continuous-time Markov decision processes with delay-dependent control policies. We develop compactification methods in decision processes, and show that the…
We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of subgame-perfect equilibrium for continuous-time games is not available…
This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists of a risk-free asset and a risky asset that follows a general…
Decentralized multiple access channels where each transmitter wants to selfishly maximize his transmission energy-efficiency are considered. Transmitters are assumed to choose freely their power control policy and interact (through…
We apply Blackwell optimality to repeated games. An equilibrium whose strategy profile is sequentially rational for all high enough discount factors simultaneously is a Blackwell (subgame-perfect, perfect public, etc.) equilibrium. The bite…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy with an exponential convergence rate. The design of the PIA…
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
We extend anytime constraints to the Markov game setting and the corresponding solution concept of an anytime-constrained equilibrium (ACE). Then, we present a comprehensive theory of anytime-constrained equilibria that includes (1) a…
We develop a comprehensive mathematical and computational framework for optimal production planning in economies governed by stochastic regime switches driven by a continuous-time Markov chain. The value functions of the underlying…
We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we…