Related papers: Time-Inconsistent Stochastic Linear-quadratic Diff…

We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…

In this article, we introduce the notion of stochastic symmetry of a differential equation. It consists in a stochastic flow that acts over a solution of a differential equation and produces another solution of the same equation. In the…

Bayesian rationality in strategic games presumes that it is possible to translate strategic uncertainty into imperfect information. Correlated equilibrium is guided by the idea that players are Bayes rational, have a common prior, and…

We discuss similarities and differences between systems of interacting players maximizing their individual payoffs and particles minimizing their interaction energy. Long-run behavior of stochastic dynamics of spatial games with multiple…

We discuss in detail the derivation of stochastic differential equations for the continuum time limit of the Minority Game. We show that all properties of the Minority Game can be understood by a careful theoretical analysis of such…

In this paper a novel stochastic optimization and extremum seeking algorithm is presented, one which is based on time-delayed random perturbations and step size adaptation. For the case of a one-dimensional quadratic unconstrained…

Learning problems commonly exhibit an interesting feedback mechanism wherein the population data reacts to competing decision makers' actions. This paper formulates a new game theoretic framework for this phenomenon, called "multi-player…

We study a quantum game played by two players with restricted multiple strategies. It is found that in this restricted quantum game Nash equilibrium does not always exist when the initial state is entangled. At the same time, we find that…

A supremum-of-quadratics representation for convex barrier-type constraints is developed and applied within the context of a class of continuous time state constrained linear regulator problems. Using this representation, it is shown that a…

We study a model of games that combines concurrency, imperfect information and stochastic aspects. Those are finite states games in which, at each round, the two players choose, simultaneously and independently, an action. Then a successor…

This paper studies a class of partial information linear-quadratic mean-field game problems. A general stochastic large-population system is considered, where the diffusion term of the dynamic of each agent can depend on the state and…

Game theory is the standard tool used to model strategic interactions in evolutionary biology and social science. Traditional game theory studies the equilibria of simple games. But is traditional game theory applicable if the game is…

In this letter, we study a class of linear-quadratic mean-field-type difference games with coupled affine inequality constraints. We show that the mean-field-type equilibrium can be characterized by the existence of a multiplier process…

In this paper, we consider linear quadratic team problems with an arbitrary number of quadratic constraints in both stochastic and deterministic settings. The team consists of players with different measurements about the state of nature.…

We consider an n-player symmetric stochastic game with weak interaction between the players. Time is continuous and the horizon and the number of states are finite. We show that the value function of each of the players can be approximated…

This paper is concerned with a kind of linear-quadratic (LQ, for short) two-person zero-sum stochastic differential game problems with partial observation. We propose the notions of explicit and implicit feedback laws under partial…

We construct two models of discrete-time replicator dynamics with time delay. In the social-type model, players imitate opponents taking into account average payoffs of games played some units of time ago. In the biological-type model, new…

We consider a finite horizon dynamic game with two players who observe their types privately and take actions, which are publicly observed. Players' types evolve as independent, controlled linear Gaussian processes and players incur…

This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who…

We formulate and solve a discrete-time linear-quadratic regulation (LQR) problem in a finite horizon that penalizes temporal variability and stochastic variability of the state trajectory. Our approach enables the user to strike a balance…