Related papers: Time-Inconsistent Stochastic Linear-quadratic Diff…
We analyze inertial coordination games: dynamic coordination games with an endogenously changing state that depends on (i) a persistent fundamental players privately learn about over time; and (ii) past play. The speed of learning…
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…
We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…
A generic non-integrable (unitary) out-of-equilibrium quantum process, when interrogated across many times, is shown to yield the same statistics as an (non-unitary) equilibrated process. In particular, using the tools of quantum stochastic…
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…
This paper first presents necessary and sufficient conditions for the solvability of discrete time, mean-field, stochastic linear-quadratic optimal control problems. Then, by introducing several sequences of bounded linear operators, the…
Sequential quadratic optimization algorithms are proposed for solving smooth nonlinear optimization problems with equality constraints. The main focus is an algorithm proposed for the case when the constraint functions are deterministic,…
Ensuring robust decision-making in multi-agent systems is challenging when agents have distinct, possibly conflicting objectives and lack full knowledge of each other's strategies. This is apparent in safety-critical applications such as…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
We study the problem of resilient strategies in the presence of uncertainty. Resilient strategies enable an agent to make decisions that are robust against disturbances. In particular, we are interested in those disturbances that are able…
In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to…
This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced. Existence of an open-loop Nash equilibrium…
In this paper we study a time-inconsistent portfolio optimization problem for competitive agents with CARA utilities and non-exponential discounting. The utility of each agent depends on her own wealth and consumption as well as the…
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…
A nonlinear stochastic differential equation with the order of nonlinearity higher than one, with several discrete and distributed delays and time varying coefficients is considered. It is shown that the sufficient conditions for…
The study of stochastic systems has received considerable interest over the years. Their dynamics can describe many equilibrium and nonequilibrium fluctuating systems. At the same time, nonequilibrium constraints interact with the time…
This paper investigates a two-person non-homogeneous linear-quadratic stochastic differential game (LQ-SDG, for short) in an infinite horizon for a system regulated by a time-invariant Markov chain. Both non-zero-sum and zero-sum LQ-SDG…
In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…
This paper is concerned with an indefinite linear-quadratic mean field games of stochastic large-population system, where the individual diffusion coefficients can depend on both the state and the control of the agents. Moreover, the…
A general model for zero-sum stochastic games with asymmetric information is considered. In this model, each player's information at each time can be divided into a common information part and a private information part. Under certain…