Related papers: Stochastic differential games with inside informat…
This paper explores distributed aggregative games in multi-agent systems. Current methods for finding distributed Nash equilibrium require players to send original messages to their neighbors, leading to communication burden and privacy…
We propose a deep neural network-based algorithm to identify the Markovian Nash equilibrium of general large $N$-player stochastic differential games. Following the idea of fictitious play, we recast the $N$-player game into $N$ decoupled…
We discuss long-run behavior of stochastic dynamics of many interacting agents. In particular, three-player spatial games are studied. The effect of the number of players and the noise level on the stochastic stability of Nash equilibria is…
We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time the investor performs an injection, the investor incurs a…
This paper investigates online stochastic aggregative games subject to local set constraints and time-varying coupled inequality constraints, where each player possesses a time-varying expectation-valued cost function relying on not only…
We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual solutions of some…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
This paper is devoted to a high-dimensional mixed leadership stochastic differential game on a finite horizon in feedback information mode, where the control variables enter into the diffusion term of state equation. A verification theorem…
One of the contributions of this work is to formulate the problem of energy-efficient power control in multiple access channels (namely, channels which comprise several transmitters and one receiver) as a stochastic differential game. The…
In this paper a consensus has been constructed in a social network which is modeled by a stochastic differential game played by agents of that network. Each agent independently minimizes a cost function which represents their motives. A…
This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747,…
In this paper we consider non convex control problems of stochastic differential equations driven by relaxed controls. We present existence of optimal controls and then develop necessary conditions of optimality. We cover both continuous…
We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…
This paper is concerned with stochastic differential games (SDGs) defined through fully coupled forward-backward stochastic differential equations (FBSDEs) which are governed by Brownian motion and Poisson random measure. For SDGs, the…
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…
In this tutorial, we provide an introduction to machine learning methods for finding Nash equilibria in games with large number of agents. These types of problems are important for the operations research community because of their…
We propose a new dynamics for equilibrium selection of finite player discrete strategy games. The dynamics is motivated by optimal transportation, and models individual players' myopicity, greedy and uncertainty when making decisions. The…
This paper is concerned with a linear-quadratic non-zero sum differential game with asymmetric delayed information. To be specific, two players exist time delays simultaneously which are different, leading the dynamical system being an…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
A distributed Nash equilibrium seeking algorithm is presented for networked games. We assume an incomplete information available to each player about the other players' actions. The players communicate over a strongly connected digraph to…