Related papers: The Complexity of Equilibria for Risk-Modeling Val…
We introduce and study a two-player zero-sum game between a probabilist and Nature defined by a convex function $f$, a finite collection $\mathcal{B}$ of Markov generators (or its convex hull), and a target distribution $\pi$. The…
In this paper, we study a theoretical math problem of game theory and calculus of variations in which we minimize a functional involving two players. A general relationship between the optimal strategies for both players is presented,…
Almost all of the work in graphical models for game theory has mirrored previous work in probabilistic graphical models. Our work considers the opposite direction: Taking advantage of recent advances in equilibrium computation for…
Markov games model interactions among multiple players in a stochastic, dynamic environment. Each player in a Markov game maximizes its expected total discounted reward, which depends upon the policies of the other players. We formulate a…
An heuristic approach to compute strong Nash (Aumann) equilibria is presented. The method is based on differential evolution and three variants of a generative relation for strong Nash equilibria characterization. Numerical experiments…
In this paper we study an optimal portfolio selection problem under instantaneous price impact. Based on some empirical analysis in the literature, we model such impact as a concave function of the trading size when the trading size is…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
In game theory, players have continuous expected payoff functions and can use fixed point theorems to locate equilibria. This optimization method requires that players adopt a particular type of probability measure space. Here, we introduce…
We revisit the complexity of deciding, given a {\it bimatrix game,} whether it has a {\it Nash equilibrium} with certain natural properties; such decision problems were early known to be ${\mathcal{NP}}$-hard~\cite{GZ89}. We show that…
We study dynamic relationships in which one party extracts current surplus in ways that degrade the future state, while the counterparty cannot exit but adjusts effort in response. Standard stationary Markov equilibria may sustain collapse…
We consider a 3-player game in the normal form, in which each player has two actions. We assume that the game is symmetric and repeated infinitely many times. At each stage players make their choices knowing only the average payoffs from…
We study techniques to incentivize self-interested agents to form socially desirable solutions in scenarios where they benefit from mutual coordination. Towards this end, we consider coordination games where agents have different intrinsic…
A central task of artificial intelligence is the design of artificial agents that act towards specified goals in partially observed environments. Since such environments frequently include interaction over time with other agents with their…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
Gvozdeva, Hemaspaandra, and Slinko (2011) have introduced three hierarchies for simple games in order to measure the distance of a given simple game to the class of (roughly) weighted voting games. Their third class $\mathcal{C}_\alpha$…
We study a class of finite-action disclosure games in which the sender's preferences are state-independent and the receiver's optimal action depends only on the expected state. While receiver-preferred equilibria in these games involve full…
We study the problem of repeated play in a zero-sum game in which the payoff matrix may change, in a possibly adversarial fashion, on each round; we call these Online Matrix Games. Finding the Nash Equilibrium (NE) of a two player zero-sum…
Stackelberg equilibria have become increasingly important as a solution concept in computational game theory, largely inspired by practical problems such as security settings. In practice, however, there is typically uncertainty regarding…
We study games with finitely many participants, each having finitely many choices. We consider the following categories of participants: (I) populations: sets of nonatomic agents, (II) atomic splittable players, (III) atomic non splittable…