Related papers: Risk-sensitive Nonzero-sum Stochastic Differential…
We analyse the computational complexity of finding Nash equilibria in stochastic multiplayer games with $\omega$-regular objectives. While the existence of an equilibrium whose payoff falls into a certain interval may be undecidable, we…
In this paper we study the zero-sum and nonzero-sum differential games with not assuming Isaacs condition. Along with the partition $\pi$ of the time interval $[0,T]$, we choose the suitable random non-anticipative strategy with delay to…
In this paper, the open-loop and closed-loop local and remote stochastic nonzero-sum game (LRSNG) problem is investigated. Different from previous works, the stochastic nonzero-sum game problem under consideration is essentially a special…
In this work, we study potential games and Markov potential games under stochastic cost and bandit feedback. We propose a variant of the Frank-Wolfe algorithm with sufficient exploration and recursive gradient estimation, which provably…
In this paper, we address the inverse problem in the case of linear-quadratic discrete-time dynamic non-cooperative games. Given feedback laws of players that are known to be a Nash equilibrium pair for a discrete-time linear system, we…
We develop a flexible stochastic approximation framework for analyzing the long-run behavior of learning in games (both continuous and finite). The proposed analysis template incorporates a wide array of popular learning algorithms,…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…
Stochastic differential games have been used extensively to model agents' competitions in Finance, for instance, in P2P lending platforms from the Fintech industry, the banking system for systemic risk, and insurance markets. The recently…
This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact through a graphon (see definition below). We consider an…
In the present work, we consider 2-person zero-sum stochastic differential games with a nonlinear pay-off functional which is defined through a backward stochastic differential equation. Our main objective is to study for such a game the…
We introduce and study a class of infinite-horizon non-zero-sum non-cooperative stochastic games with infinitely many interacting agents using ideas of statistical mechanics. First we show, in the general case of asymmetric interactions,…
In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo \cite{DL}. In particular, we consider a stochastic differential game between two players, namely, the…
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game with constant coefficients in an infinite time horizon. Open-loop and closed-loop saddle points are introduced. The existence of closed-loop…
We study model-based and model-free policy optimization in a class of nonzero-sum stochastic dynamic games called linear quadratic (LQ) deep structured games. In such games, players interact with each other through a set of weighted…
We address payoff-based decentralized learning in infinite-horizon zero-sum Markov games. In this setting, each player makes decisions based solely on received rewards, without observing the opponent's strategy or actions nor sharing…
We consider a general type of non-Markovian impulse control problems under adverse non-linear expectation or, more specifically, the zero-sum game problem where the adversary player decides the probability measure. We show that the upper…
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (AAIs) are characterized by drifted Brownian motion with both…
This paper addresses a class of two-person zero-sum stochastic differential equations, which encompass Markov chains and fractional Brownian motion, and satisfy some monotonicity conditions over an infinite time horizon. Within the…
We study the infinite horizon discrete time N-player nonzero-sum Dynkin game ($N \geq 2$) with stopping times as strategies (or pure strategies). We prove existence of an $\varepsilon$-Nash equilibrium point for the game by presenting a…
We study continuous stochastic games with heterogeneous mean field interactions and jumps on large networks and explore their limit counterparts. We introduce the graphon game model based on a controlled graphon mean field stochastic…