Related papers: An Analysis of Dual-Issue Final-Offer Arbitration

A recently introduced concept of "cooperative equilibrium", based on the assumption that players have a natural attitude to cooperation, has been proven a powerful tool in predicting human behaviour in social dilemmas. In this paper, we…

Recently, Press and Dyson have proposed a new class of probabilistic and conditional strategies for the two-player iterated Prisoner's Dilemma, so-called zero-determinant strategies. A player adopting zero-determinant strategies is able to…

We characterize absence of arbitrage with simple trading strategies in a discounted market with a constant bond and several risky assets. We show that if there is a simple arbitrage, then there is a 0-admissible one or an obvious one, that…

This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a…

This paper explores the gain maximization problem of two nations engaging in non-cooperative bilateral trade. Probabilistic model of an exchange of commodities under different price systems is considered. Volume of commodities exchanged…

Consider a distribution of citizens in an urban area in which some services (supermarkets, post offices...) are present. Each citizen, in order to use a service, spends an amount of time which is due both to the travel time to the service…

We examine a two-person game we call Will-Testing in which the strategy space for both players is a real number. It has no equilibrium. When an infinitely large set of players plays this in all possible pairings, there is an equilibrium for…

We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…

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 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 prove that every two-player nonzero-sum stopping game in discrete time admits an \epsilon-equilibrium in randomized strategies for every \epsilon >0. We use a stochastic variation of Ramsey's theorem, which enables us to reduce the…

We introduce a solution concept for extensive-form games of incomplete information in which players need not assign likelihoods to what they do not know about the game. This is embedded in a model in which players can hold multiple priors.…

The classical constant-sum 'silent duel' game had two antagonistic marksmen walking towards each other. A more friendly formulation has two equally skilled marksmen approaching targets at which they may silently fire at distances of their…

This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of possible scenarios. We explain the…

We consider an autonomous navigation problem, whereby a traveler aims at traversing an environment in which an adversary tries to set an ambush. A two players zero sum game is introduced. Players' strategies are computed as random path…

We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…

A group of players which contain n sellers and n buyers bargain over the partitions of n pies. A seller(/buyer) has to reach an agreement with a buyer (/seller) on the division of a pie. The players bargain in a system like the stock…

We introduce a new approach for computing optimal equilibria via learning in games. It applies to extensive-form settings with any number of players, including mechanism design, information design, and solution concepts such as correlated,…

We consider two-person bargaining problems in which (only) the disagreement outcome is private (and possibly correlated) information and it is common knowledge that disagreement is inefficient. We show that if the Pareto frontier is linear,…

We present a novel coalgebraic formulation of infinite extensive games. We define both the game trees and the strategy profiles by possibly infinite systems of corecursive equations. Certain strategy profiles are proved to be subgame…