Related papers: Generalized Gambler's Ruin Problem: explicit formu…
Can a probabilistic gambler get arbitrarily rich when all deterministic gamblers fail? We study this problem in the context of algorithmic randomness, introducing a new notion -- almost everywhere computable randomness. A binary sequence…
We study two-player general sum repeated finite games where the rewards of each player are generated from an unknown distribution. Our aim is to find the egalitarian bargaining solution (EBS) for the repeated game, which can lead to much…
We address the problem of assessing the robustness of the equilibria in uncertain, multi-agent games. Specifically, we focus on generalized Nash equilibrium problems in aggregative form subject to linear coupling constraints affected by…
A class of discrete Bidding Combinatorial Games that generalize alternating normal play was introduced by Kant, Larsson, Rai, and Upasany (2022). The major questions concerning optimal outcomes were resolved. By generalizing standard game…
We examine critically the Gambier equation and show that it is the generic linearisable equation containing, as reductions, all the second-order equations which are integrable through linearisation. We then introduce the general discrete…
In this work, we consider extensions of the dual risk model with proportional gains by introducing a dependence structure between gain sizes and gain interrarrival times. Among others, we further consider the case where the proportional…
We investigate the duality relation between linear programs over grids (Grid-LPs) and generalized linear complementarity problems (GLCPs) with hidden K-matrices. The two problems, moreover, share their combinatorial structure with…
In this note we find a formula for the supremum distribution of spectrally positive or negative L\'evy processes with a broken linear drift. This gives formulas for ruin probabilities in the case when two insurance companies (or two…
Define a certain gambler's ruin process $\mathbf{X}_{j}, \mbox{ \ }j\ge 0,$ such that the increments $\varepsilon_{j}:=\mathbf{X}_{j}-\mathbf{X}_{j-1}$ take values $\pm1$ and satisfy $P(\varepsilon_{j+1}=1|\varepsilon_{j}=1,…
Strategic decision-making in uncertain and adversarial environments is crucial for the security of modern systems and infrastructures. A salient feature of many optimal decision-making policies is a level of unpredictability, or randomness,…
A generalized model of games is proposed, in which cooperative games and non-cooperative games are special cases. Some games that are neither cooperative nor non-cooperative can be expressed and analyzed. The model is based on relationships…
It is known that the generalized Nash equilibrium problem can be reformulated as a quasivariational inequality. Our aim in this work is to introduce a variational approach to study the existence of solutions for generalized ordinal Nash…
We study robust Markov games (RMG) with $s$-rectangular uncertainty. We show a general equivalence between computing a robust Nash equilibrium (RNE) of a $s$-rectangular RMG and computing a Nash equilibrium (NE) of an appropriately…
This paper gives two sharp bounds for the generalized ballot problem with candidate A receiving at least \mu times as candidate B for an arbitrary real number \mu.
In this paper, the problem of finding a generalized Nash equilibrium (GNE) of a networked game is studied. Players are only able to choose their decisions from a feasible action set. The feasible set is considered to be a private linear…
Stochastic resetting -- the intermittent restart of random processes -- has profoundly reshaped first-passage theory, providing a mechanism to control and optimize completion times. While the influence of resetting on mean first-passage…
We present a new model of incomplete information games without private information in which the players use a distributionally robust optimization approach to cope with the payoff uncertainty. With some specific restrictions, we show that…
We study a robust Dynkin game over a set of mutually singular probabilities. We first prove that for the conservative player of the game, her lower and upper value processes coincide (i.e. She has a value process $V $ in the game). Such a…
This paper consider the possibility of using some quantum tools in decision making strategies. In particular, we consider here a dynamical open quantum system helping two players, $\G_1$ and $\G_2$, to take their decisions in a specific…
This paper has two central aims: first, to provide simple conditions under which the generalized games in choice form and, consequently, the abstract economies, admit equilibrium; second, to study the solvability of several types of systems…