Related papers: Default Swap Games Driven by Spectrally Negative L…

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 subgame perfect Nash equilibria. When the discount function…

We study the evolutionary stability of Nash equilibria (NE) in a symmetric quantum game played by the recently proposed scheme of applying `identity' and `Pauli spin flip' operators on the initial state with classical probabilities. We show…

The Constant Elasticity of Variance (CEV) model is mathematically presented and then used in a Credit-Equity hybrid framework. Next, we propose extensions to the CEV model with default: firstly by adding a stochastic volatility diffusion…

Under what conditions do the behaviors of players, who play a game repeatedly, converge to a Nash equilibrium? If one assumes that the players' behavior is a discrete-time or continuous-time rule whereby the current mixed strategy profile…

We show that under some general conditions the finite memory determinacy of a class of two-player win/lose games played on finite graphs implies the existence of a Nash equilibrium built from finite memory strategies for the corresponding…

In this paper we present a new competitive packet routing model with edge priorities. We consider players that route selfishly through a network over time and try to reach their destinations as fast as possible. If the number of players who…

We introduce set packing games as an abstraction of situations in which $n$ selfish players select subsets of a finite set of indivisible items, and analyze the quality of several equilibria for this class of games. Assuming that players…

We consider financial networks, where banks are connected by contracts such as debts or credit default swaps. We study the clearing problem in these systems: we want to know which banks end up in a default, and what portion of their…

We study discounted infinitely repeated games in which players agree on a cooperative mixed action profile but, at each step, observe only the realized pure actions. This form of imperfect monitoring breaks classical trigger strategies,…

The use of reinforcement learning algorithms in financial trading is becoming increasingly prevalent. However, the autonomous nature of these algorithms can lead to unexpected outcomes that deviate from traditional game-theoretical…

In this paper, we investigate the seeking of Nash equilibrium (NE) in a non-cooperative quadratic game where all agents exchange their delayed strategy information with their neighbors. To extend best-response algorithms to the delayed…

There has been substantial progress on finding game-theoretic equilibria. Most of that work has focused on games with finite, discrete action spaces. However, many games involving space, time, money, and other fine-grained quantities have…

The vast majority of products we use daily are supplied to us through complex global supply chains that transform raw materials into finished goods and distribute them to end consumers. This paper proposes a modeling methodology for dynamic…

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 player can adjust her own stopping strategy according to…

In this paper, a Nash-type fictitious game framework is introduced to handle a time-inconsistent linear-quadratic optimal control. The Nash-type game in this framework is called fictitious as it is between the decision maker (called real…

We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…

We propose a game-theoretic framework to study the outcomes of packetized payments, a cross-ledger transaction protocol, with strategic and possibly malicious agents. We derive the transaction failure rate and demonstrate that without…

This work is concerned with the application of game theoretic principles to model competition between demand response aggregators for selling excess energy stored in electrochemical storage devices directly to other aggregators in a power…

This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Levy process. This allows the model to…

We expand on earlier research on the topic by discussing an infinitely repeated game model with a subgame perfect equilibrium strategy profile (SPE) as a solution concept that diminishes incentives to violate speed limits in a carrot and…