Related papers: Game-theoretic approach to risk-sensitive benchmar…

The term rational has become synonymous with maximizing expected payoff in the definition of the best response in Nash setting. In this work, we consider stochastic games in which players engage only once, or at most a limited number of…

We study two-player security games which can be viewed as sequences of nonzero-sum matrix games played by an Attacker and a Defender. The evolution of the game is based on a stochastic fictitious play process. Players do not have access to…

In this paper we consider two-person zero-sum risk-sensitive stochastic dynamic games with Borel state and action spaces and bounded reward. The term risk-sensitive refers to the fact that instead of the usual risk neutral optimization…

We study two person nonzero-sum stochastic differential games with risk-sensitive discounted and ergodic cost criteria. Under certain conditions we establish a Nash equilibrium in Markov strategies for the discounted cost criterion and a…

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…

We present a framework that incorporates the idea of bounded rationality into dynamic stochastic pursuit-evasion games. The solution of a stochastic game is characterized, in general, by its (Nash) equilibria in feedback form. However,…

We discuss and compare two methods of investigations for the asymptotic regime of stochastic differential games with a finite number of players as the number of players tends to the infinity. These two methods differ in the order in which…

In an incomplete market driven by time-changed L\'evy noises we consider the problem of hedging a financial position coupled with the underlying risk of model uncertainty. Then we study hedging under worst-case-scenario. The proposed…

All people have to make risky decisions in everyday life. And we do not know how true they are. But is it possible to mathematically assess the correctness of our choice? This article discusses the model of decision making under risk on the…

We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that…

We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…

An operational relevant conflict between teams of autonomous vehicles in the Beyond Visual Range domain is addressed in this paper. Optimal strategies are designed in order for a team of air interceptors to protect a high value asset and…

Financial markets investors are involved in many games -- they must interact with other agents to achieve their goals. Among them are those directly connected with their activity on markets but one cannot neglect other aspects that…

In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…

When investing in cyber security resources, information security managers have to follow effective decision-making strategies. We refer to this as the cyber security investment challenge. In this paper, we consider three possible…

This paper proposes a game-theoretic approach to address the problem of optimal sensor placement against an adversary in uncertain networked control systems. The problem is formulated as a zero-sum game with two players, namely a malicious…

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…

We find closed-form solutions to the stochastic game between a broker and a mean-field of informed traders. In the finite player game, the informed traders observe a common signal and a private signal. The broker, on the other hand,…

This paper studies an optimal allocation of demand response (DR) provisions among strategic photovoltaic (PV) prosumers, through third-party DR providers which operate within the territory of the regulated distribution utility. A game…

In this paper, we study inverse game theory (resp. inverse multiagent learning) in which the goal is to find parameters of a game's payoff functions for which the expected (resp. sampled) behavior is an equilibrium. We formulate these…