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This paper investigates closed-loop Nash equilibria for discrete-time linear-quadratic (LQ) stochastic nonzero-sum difference games with random coefficients. Unlike existing works, we consider randomness in both state dynamics and cost…
We study a networked economic system composed of $n$ producers supplying a single homogeneous good to a number of geographically separated markets and of a centralized authority, called the market maker. Producers compete \`a la Cournot, by…
This paper investigates Nash equilibria in pure strategies for quantum approach to the Prisoner's Dilemma. The quantization process involves extending the classical game by introducing two additional unitary strategies. We consider five…
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a…
We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…
We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We use the martingale optimality principle approach to…
We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…
This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the model with n agents, the price dynamics of underlying risky…
Our paper addresses characterizing conditions for a linear quadratic (LQ) game to be a potential game. The desired properties of potential games in finite action settings, such as convergence of learning dynamics to Nash equilibria, and the…
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control actions of the players in open-loop form. Finite and…
We consider the problem of optimal charging of plug-in electric vehicles (PEVs). We treat this problem as a multi-agent game, where vehicles/agents are heterogeneous since they are subject to possibly different constraints. Under the…
We are concerned with finding Nash Equilibria in agent-based multi-cluster games, where agents are separated into distinct clusters. While the agents inside each cluster collaborate to achieve a common goal, the clusters are considered to…
We present novel techniques for neuro-symbolic concurrent stochastic games, a recently proposed modelling formalism to represent a set of probabilistic agents operating in a continuous-space environment using a combination of neural network…
Much work has been done on the computation of market equilibria. However due to strategic play by buyers, it is not clear whether these are actually observed in the market. Motivated by the observation that a buyer may derive a better…
This work addresses the issue of the convergence of an $N$-player game towards a limit model involving a continuum of players, as the number of agents $N$ goes to infinity. More precisely, we investigate the convergence of Nash equilibria…
We consider a class of dynamic collective choice models with social interactions, whereby a large number of non-uniform agents have to individually settle on one of multiple discrete alternative choices, with the relevance of their would-be…
Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty. In incomplete markets, an appealing approach is to analyze…
The all-pay auction, a classic competitive model, is widely applied in scenarios such as political elections, sports competitions, and research and development, where all participants pay their bids regardless of winning or losing. However,…
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising…