Related papers: A New Class of Problems in the Calculus of Variati…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
We study a class of semi-discrete variational problems that arise in economic matching and game theory, where agents with continuous attributes are matched to a finite set of outcomes with a one dimensional structure. Such problems appear…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function…
The Nash equilibrium problem is a widely used tool to model non-cooperative games. Many solution methods have been proposed in the literature to compute solutions of Nash equilibrium problems with continuous strategy sets, but, besides some…
We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…
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,…
We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…
We present novel techniques for neuro-symbolic concurrent stochastic games, a recently proposed modelling formalism to represent a set of probabilistic agents operating in a continuous-space environment using a combination of neural network…
The quasi-variational inequalities play a significant role in analyzing a wide range of real-world problems. However, these problems are more complicated to solve than variational inequalities as the constraint set is based on the current…
In this paper we propose a numerical method to obtain an approximation of Nash equilibria for multi-player non-cooperative games with a special structure. We consider the infinite horizon problem in a case which leads to a system of…
A growing body of work in game theory extends the traditional Stackelberg game to settings with one leader and multiple followers who play a Nash equilibrium. Standard approaches for computing equilibria in these games reformulate the…
The standard risk minimization paradigm of machine learning is brittle when operating in environments whose test distributions are different from the training distribution due to spurious correlations. Training on data from many…
Infinite horizon optimization problems accompany two perplexities. First, the infinite series of utility sequences may diverge. Second, boundary conditions at the infinite terminal time may not be rigorously expressed. In this paper, we…
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…
The paper deals with a class of parametrized equilibrium problems, where the objectives of the players do possess nonsmooth terms. The respective Nash equilibria can be characterized via a parameter-dependent variational inequality of the…
Variational inequality problems allow for capturing an expansive class of problems, including convex optimization problems, convex Nash games and economic equilibrium problems, amongst others. Yet in most practical settings, such problems…
We propose a novel method to find Nash equilibria in games with binary decision variables by including compensation payments and incentive-compatibility constraints from non-cooperative game theory directly into an optimization framework in…