Related papers: A state-constrained differential game arising in o…
In the context of large population symmetric games, approximate Nash equilibria are introduced through equilibrium solutions of the corresponding mean field game in the sense that the individual gain from optimal unilateral deviation under…
The two-players N strategies games quantized according to the Eisert-Lewenstein-Wilkens scheme [1] are considered. It is shown that in the case of maximal entanglement no nontrivial pure Nash equilibrium exists. The proof relies on simple…
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…
If a game has a unique Nash equilibrium, then this equilibrium is arguably the solution of the game from the refinement's literature point of view. However, it might be that for almost all initial conditions, all strategies in the support…
We introduce the problem of groundwater trading, capturing the emergent groundwater market setups among stakeholders in a given groundwater basin. The agents optimize their production, taking into account their available water rights, the…
We study the convergence of Nash equilibria in a game of optimal stopping. If the associated mean field game has a unique equilibrium, any sequence of $n$-player equilibria converges to it as $n\to\infty$. However, both the finite and…
Nash equilibria provide a principled framework for modeling interactions in multi-agent decision-making and control. However, many equilibrium-seeking methods implicitly assume that each agent has access to the other agents' objectives and…
This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a necessary maximum principle and sufficient…
We consider a game for a continuum of non-identical players evolving on a finite state space. Their heterogeneous interactions are represented by a graphon, which can be viewed as the limit of a dense random graph. The player's transition…
An open problem in linear quadratic (LQ) games has been characterizing the Nash equilibria. This problem has renewed relevance given the surge of work on understanding the convergence of learning algorithms in dynamic games. This paper…
We study the optimal portfolio selection problem under relative performance criteria in the market model with random coefficients from the perspective of many players game theory. We consider five random coefficients which consist of three…
This paper addresses a class of network games played by dynamic agents using their outputs. Unlike most existing related works, the Nash equilibrium in this work is defined by functions of agent outputs instead of full agent states, which…
We model a system of n asymmetric firms selling a homogeneous good in a common market through a pay-as-bid auction. Every producer chooses as its strategy a supply function returning the quantity S(p) that it is willing to sell at a minimum…
We investigate mean field games for players, who are weakly coupled via their empirical measure. To this end we investigate time-dependent pure jump type propagators over a finite space in the framework of non-linear Markov processes. We…
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order…
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…
We consider the general problem of a set of agents trading a portfolio of assets in the presence of transient price impact and additional quadratic transaction costs and we study, with analytical and numerical methods, the resulting Nash…
We introduce a microscopic model of interacting financial agents, where each agent is characterized by two portfolios; money invested in bonds and money invested in stocks. Furthermore, each agent is faced with an optimization problem in…
We studied the behavior and variation of utility between the two conflicting players in a closed Nash-equilibrium loop. Our modeling approach also captured the nexus between optimal premium strategizing and firm performance using the…
In this study, we investigate $N$-player stochastic differential games with regime switching, where the player dynamics are modulated by a finite-state Markov chain. We analyze the associated Nash system, which consists of a system of…