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We study the existence and computation of Nash equilibria in concave games where the players' admissible strategies are subject to shared coupling constraints. Under playerwise concavity of constraints, we prove existence of Nash…
A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…
We present a general framework for the estimation of corporate default based on a firm's capital structure, when its assets are assumed to follow a pure jump L\'evy processes; this setup provides a natural extension to usual default metrics…
This paper discusses a special type of multi-user communication scenario, in which users' utilities are linearly impacted by their competitors' actions. First, we explicitly characterize the Nash equilibrium and Pareto boundary of the…
Smart metering infrastructure allows for two-way communication and power transfer. Based on this promising technology, we propose a demand-side management (DSM) scheme for a residential neighbourhood of prosumers. Its core is a discrete…
The design of Nash equilibrium seeking strategies for games in which the involved players are of second-order integrator-type dynamics is investigated in this paper. Noticing that velocity signals are usually noisy or not available for…
A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems…
We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…
A recent body of experimental literature has studied empirical game-theoretical analysis, in which we have partial knowledge of a game, consisting of observations of a subset of the pure-strategy profiles and their associated payoffs to…
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. First, each player looks for an intra-personal equilibrium…
We study pure-strategy Nash equilibria in multi-player concurrent deterministic games, for a variety of preference relations. We provide a novel construction, called the suspect game, which transforms a multi-player concurrent game into a…
There are only limited classes of multi-player stochastic games in which independent learning is guaranteed to converge to a Nash equilibrium. Markov potential games are a key example of such classes. Prior work has outlined sets of…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
We study the long-term behavior of the fictitious play process in repeated extensive-form games of imperfect information with perfect recall. Each player maintains incorrect beliefs that the moves at all information sets, except the one at…
Nash equilibrium is a popular solution concept for solving imperfect-information games in practice. However, it has a major drawback: it does not preclude suboptimal play in branches of the game tree that are not reached in equilibrium.…
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process,…
In this paper, we study nonzero-sum separable games, which are continuous games whose payoffs take a sum-of-products form. Included in this subclass are all finite games and polynomial games. We investigate the structure of equilibria in…
We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…
We investigate Nash equilibrium learning in a competitive Markov Game (MG) environment, where multiple agents compete, and multiple Nash equilibria can exist. In particular, for an oligopolistic dynamic pricing environment, exact Nash…
We investigate a novel finite-horizon linear-quadratic (LQ) feedback dynamic potential game with a priori unknown cost matrices played between two players. The cost matrices are revealed to the players sequentially, with the potential for…