Related papers: Partial Information Differential Games for Mean-Fi…

We study Nash equilibria for a sequence of symmetric $N$-player stochastic games of finite-fuel capacity expansion with singular controls and their mean-field game (MFG) counterpart. We construct a solution of the MFG via a simple iterative…

We study the global convergence of policy optimization for finding the Nash equilibria (NE) in zero-sum linear quadratic (LQ) games. To this end, we first investigate the landscape of LQ games, viewing it as a nonconvex-nonconcave…

This paper investigates a class of general linear-quadratic mean field games with common noise, where the diffusion terms of the system contain the state variables, control variables, and the average state terms. We solve the problem using…

We show that an N-person non-cooperative semi-Markov game under limiting ratio average pay-off has a pure semi-stationary Nash equilibrium. In an earlier paper, the zero-sum two person case has been dealt with. The proof follows by reducing…

In this paper we study a mean-field games system with Dirichlet boundary conditions in a closed domain and in a mean-field of control setting, that is in which the dynamics of each agent is affected not only by the average position of the…

We consider the Nash equilibrium problem in a partial-decision information scenario. Specifically, each agent can only receive information from some neighbors via a communication network, while its cost function depends on the strategies of…

We present a unified framework for characterizing local Nash equilibria in continuous games on either infinite-dimensional or finite-dimensional non-convex strategy spaces. We provide intrinsic necessary and sufficient first- and…

Secure equilibrium is a refinement of Nash equilibrium, which provides some security to the players against deviations when a player changes his strategy to another best response strategy. The concept of secure equilibrium is specifically…

This paper studies approximate solutions to large-scale linear quadratic stochastic games with homogeneous nodal dynamics parameters and heterogeneous network couplings within the graphon mean field game framework in [2]-[4]. A graphon…

We consider stochastic differential games with $N$ players, linear-Gaussian dynamics in arbitrary state-space dimension, and long-time-average cost with quadratic running cost. Admissible controls are feedbacks for which the system is…

This paper establishes an equilibrium existence result for a class of Mean Field Games involving Reflected Stochastic Differential Equations. The proof relies on the framework of relaxed controls and martingale problems.

Nash equilibria are crucial for understanding game behavior and systems in economics, physics, biology, and computer science. A significant application arises from the connection between Nash equilibria and optimization problems . However,…

We study finite-player dynamic stochastic games with heterogeneous interactions and non-Markovian linear-quadratic objective functionals. We derive the Nash equilibrium explicitly by converting the first-order conditions into a coupled…

Financial markets are often driven by latent factors which traders cannot observe. Here, we address an algorithmic trading problem with collections of heterogeneous agents who aim to perform optimal execution or statistical arbitrage, where…

This paper investigates stochastic generalized dynamic games with coupling chance constraints, where agents have incomplete information about uncertainties satisfying a concentration of measure property. This problem, in general, is…

We formulate a two-team linear quadratic stochas- tic dynamic game featuring two opposing teams each with decentralized information structures. We introduce the concept of mutual quadratic invariance (MQI), which, analogously to quadratic…

In this paper we propose and analyze a class of $N$-player stochastic games that include finite fuel stochastic games as a special case. We first derive sufficient conditions for the Nash equilibrium (NE) in the form of a verification…

This paper considers the problem of inverse reinforcement learning in zero-sum stochastic games when expert demonstrations are known to be not optimal. Compared to previous works that decouple agents in the game by assuming optimality in…

Towards characterizing the optimization landscape of games, this paper analyzes the stability of gradient-based dynamics near fixed points of two-player continuous games. We introduce the quadratic numerical range as a method to…

This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not non-singular boundary behaviour (in the sense of It\^o and McKean (1974), p.\ 108). We provide sufficient conditions under…