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In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is…
We study the issues of existence and inefficiency of pure Nash equilibria in linear congestion games with altruistic social context, in the spirit of the model recently proposed by de Keijzer {\em et al.} \cite{DSAB13}. In such a framework,…
We study discrete-time mean-field Markov games with infinite numbers of agents where each agent aims to minimize its ergodic cost. We consider the setting where the agents have identical linear state transitions and quadratic cost…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
Game-theoretic approaches and Nash equilibrium have been widely applied across various engineering domains. However, practical challenges such as disturbances, delays, and actuator limitations can hinder the precise execution of Nash…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
Nash equilibrium is a solution concept in non-strictly competitive, non-cooperative game theory that finds applications in various scientific and engineering disciplines. A non-strictly competitive, non-cooperative game model is presented…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
Static potential games are non-cooperative games which admit a fictitious function, also referred to as a potential function, such that the minimizers of this function constitute a subset (or a refinement) of the Nash equilibrium strategies…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…
An extensive literature in economics and social science addresses contests, in which players compete to outperform each other on some measurable criterion, often referred to as a player's score, or output. Players incur costs that are an…
We present an efficient algorithm to compute the explicit open-loop solution to both finite and infinite-horizon dynamic games subject to state and input constraints. Our approach relies on a multiparametric affine variational inequality…
We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse…
This paper studies the limits of empirical means of open-loop Nash equilibria of linear-quadratic stochastic differential games as the number of players goes to infinity, when the corresponding mean field game is of potential type and may…
In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to…
Computational aspects of solution notions such as Nash equilibrium have been extensively studied, including settings where the ultimate goal is to find an equilibrium that possesses some additional properties. Furthermore, in order to…
We study the computational complexity of Nash equilibria in concurrent games with limit-average objectives. In particular, we prove that the existence of a Nash equilibrium in randomised strategies is undecidable, while the existence of a…
We consider the problem of computing Nash equilibria in potential games where each player's strategy set is subject to private uncoupled constraints. This scenario is frequently encountered in real-world applications like road network…