Related papers: Systemic Risk and Stochastic Games with Delay
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the…
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…
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear…
We study the system of heterogeneous interbank lending and borrowing based on the relative average of log-capitalization given by the linear combination of the average within groups and the ensemble average and describe the evolution of…
We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…
This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a necessary maximum principle and sufficient…
This paper is concerned with a linear-quadratic non-zero sum differential game with asymmetric delayed information. To be specific, two players exist time delays simultaneously which are different, leading the dynamical system being an…
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is…
This paper is concerned with a linear quadratic stochastic Stackelberg differential game with time delay. The model is general, in which the state delay and the control delay both appear in the state equation, moreover, they both enter into…
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…
This paper investigates the equilibrium convergence properties of a proposed algorithm for potential games with continuous strategy spaces in the presence of feedback delays, a main challenge in multi-agent systems that compromises the…
This paper presents a pioneering investigation into discrete-time two-person non-zero-sum linear quadratic (LQ) stochastic games with random coefficients. We derive necessary and sufficient conditions for the existence of open-loop Nash…
We identify structural assumptions which provide solvability of the Nash system arising from a linear-quadratic closed-loop game, with stable properties with respect to the number of players. In a setting of interactions governed by a…
This paper investigates closed-loop Nash equilibria for discrete-time linear-quadratic (LQ) stochastic nonzero-sum difference games with random coefficients. Unlike existing works, we consider randomness in both state dynamics and cost…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…
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…
This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the…
In multi-agent autonomous systems, deception is a fundamental concept which characterizes the exploitation of unbalanced information to mislead victims into choosing oblivious actions. This effectively alters the system's long term…
In this note, we study a class of deterministic finite-horizon linear-quadratic difference games with coupled affine inequality constraints involving both state and control variables. We show that the necessary conditions for the existence…
The main goal of this paper is to study a stochastic game connected to a system of forward backward stochastic differential equations (FBSDEs) involving delay and so-called noisy memory. We derive suffcient and necessary maximum principles…