Related papers: Generalized Gambler's Ruin Problem: explicit formu…
In this paper we introduce the novel framework of distributionally robust games. These are multi-player games where each player models the state of nature using a worst-case distribution, also called adversarial distribution. Thus each…
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.…
A gambler walks into a hypothetical fair casino with a very real dollar bill, but by the time he leaves he's exchanged the dollar for a random amount of money. What is lost in the process? It may be that the gambler walks out at the end of…
In general, Nash equilibria in normal-form games may require players to play (probabilistically) mixed strategies. We define a measure of the complexity of finite probability distributions and study the complexity required to play Nash…
We study the problem of finding robust equilibria in multiplayer concurrent games with mean payoff objectives. A $(k,t)$-robust equilibrium is a strategy profile such that no coalition of size $k$ can improve the payoff of one its member by…
The two-players $N$ strategies games quantized according to the Eisert-Lewenstein-Wilkens scheme (Phys. Rev. Lett. 83 (1999), 3077) are considered. Group theoretical methods are applied to the problem of finding a general form of gate…
Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities are obtained for the general risk models under weak…
In dynamic games with shared constraints, Generalized Nash Equilibria (GNE) are often computed using the normalized solution concept, which assumes identical Lagrange multipliers for shared constraints across all players. While widely used,…
Gradient-based methods for two-player games produce rich dynamics that can solve challenging problems, yet can be difficult to stabilize and understand. Part of this complexity originates from the discrete update steps given by simultaneous…
We introduce a class of extensive form games where players might not be able to foresee the possible consequences of their decisions and form a model of their opponents which they exploit to achieve a more profitable outcome. We improve…
We consider refined versions of Markov chains related to juggling introduced by Warrington. We further generalize the construction to juggling with arbitrary heights as well as infinitely many balls, which are expressed more succinctly in…
This paper treats of a kind of a gambler's ruin problem, which seeks the probability that a random walker first hits the origin at a certain time. In addition to a usual random walk which hops either rightwards or leftwards, the present…
The framework of graded semantics uses graded monads to capture behavioural equivalences of varying granularity, for example as found on the linear-time/branching-time spectrum, over general system types. We describe a generic…
We consider two-player random extensive form games where the payoffs at the leaves are independently drawn uniformly at random from a given feasible set C. We study the asymptotic distribution of the subgame perfect equilibrium outcome for…
The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the price dynamics given by a geometric Brownian motion. We…
The statistical framework of Generalized Linear Models (GLM) can be applied to sequential problems involving categorical or ordinal rewards associated, for instance, with clicks, likes or ratings. In the example of binary rewards, logistic…
We consider two-player stochastic games played on a finite graph for infinitely many rounds. Stochastic games generalize both Markov decision processes (MDP) by adding an adversary player, and two-player deterministic games by adding…
In this paper we describe an approach to resolve strategic games in which players can assume different types along the game. Our goal is to infer which type the opponent is adopting at each moment so that we can increase the player's odds.…
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…
After a brief introduction to one of the most typical problems in Mean Field Games, the congestion case (where agents pay a cost depending on the density of the regions they visit), and to its variational structure, we consider the question…