Related papers: Systemic Risk and Stochastic Games with Delay
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
We present a framework that incorporates the idea of bounded rationality into dynamic stochastic pursuit-evasion games. The solution of a stochastic game is characterized, in general, by its (Nash) equilibria in feedback form. However,…
This paper investigates stochastic generalized dynamic games with coupling chance constraints, where agents have incomplete information about uncertainties satisfying a concentration of measure property. This problem, in general, is…
In this paper, we focus on modeling and analysis of demand-side management in a microgrid where agents utilize grid energy and a shared battery charged by renewable energy sources. We model the problem as a generalized stochastic dynamic…
In this paper, Nash equilibrium seeking among a network of players is considered. Different from many existing works on Nash equilibrium seeking in non-cooperative games, the players considered in this paper cannot directly observe the…
We propose a game-theoretic model of the reliability of decentralised systems based on Varian's model of system reliability, to which we add a new normalised total effort case that models \textit{decentralisation conscious players} who…
Game theory is playing more and more important roles in understanding complex systems and in investigating intelligent machines with various uncertainties. As a starting point, we consider the classical two-player zero-sum linear-quadratic…
In this paper we consider non zero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of Ergodic BSDEs, and prove the existence of a…
Considering infinite-horizon, discrete-time, linear quadratic, N-player dynamic games with scalar dynamics, a graphical representation of feedback Nash equilibrium solutions is provided. This representation is utilised to derive conditions…
We consider the problem of simultaneous learning in stochastic games with many players in the finite-horizon setting. While the typical target solution for a stochastic game is a Nash equilibrium, this is intractable with many players. We…
We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…
We consider non-atomic network congestion games with heterogeneous players where the latencies of the paths are subject to some bounded deviations. This model encompasses several well-studied extensions of the classical Wardrop model which…
Game theory is a very profound study on distributed decision-making behavior and has been extensively developed by many scholars. However, many existing works rely on certain strict assumptions such as knowing the opponent's private…
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
We propose to smooth out the calibration score, which measures how good a forecaster is, by combining nearby forecasts. While regular calibration can be guaranteed only by randomized forecasting procedures, we show that smooth calibration…
This paper proposes a novel approach for locally stable convergence to Nash equilibrium in duopoly noncooperative games based on a distributed event-triggered control scheme. The proposed approach employs extremum seeking, with sinusoidal…
The distributed computation of Nash equilibria is assuming growing relevance in engineering where such problems emerge in the context of distributed control. Accordingly, we present schemes for computing equilibria of two classes of static…
In this paper, we study the distributed generalized Nash equilibrium seeking problem of non-cooperative games in dynamic environments. Each player in the game aims to minimize its own time-varying cost function subject to a local action…
Systemic risk measures aggregate the risks from multiple financial institutions to find system-wide capital requirements. Though much attention has been given to assessing the level of systemic risk, less has been given to allocating that…