Related papers: Systemic Risk and Stochastic Games with Delay
Mean field game equilibria are predicated on the assumption of immediate pairwise interactions within a population of homogeneous agents with asymptotically vanishing influence as population size increases. However, in many real-world…
We consider a variant of the hide-and-seek game in which a seeker inspects multiple hiding locations to find multiple items hidden by a hider. Each hiding location has a maximum hiding capacity and a probability of detecting its hidden…
This paper investigates a class of general linear-quadratic mean field games with common noise, where the diffusion terms of the system contain the state variables, control variables, and the average state terms. We solve the problem using…
In this paper, a multi-cluster game with high-order players is investigated. Different from the well-known multi-cluster games, the dynamics of players are taken into account in our problem. Due to the high-order dynamics of players,…
The paper is concerned with a zero-sum Stackelberg stochastic linear-quadratic (LQ, for short) differential game over finite horizons. Under a fairly weak condition, the Stackelberg equilibrium is explicitly obtained by first solving a…
We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state…
When two or more self-interested agents put their plans to execution in the same environment, conflicts may arise as a consequence, for instance, of a common utilization of resources. In this case, an agent can postpone the execution of a…
We suggest a novel stochastic-approximation algorithm to compute a symmetric Nash-equilibrium strategy in a general queueing game with a finite action space. The algorithm involves a single simulation of the queueing process with dynamic…
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 studies random reshuffling (RR)-based distributed Nash equilibrium seeking for noncooperative games. The game is motivated as a sample-average approximation of an underlying expected-value stochastic game, while the algorithmic…
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…
In this article, we concern a kind of partially observed non-zero sum stochastic differential game based on forward and backward stochastic differential equations (FBSDEs). It is required that each player has his own observation equation,…
In this work, we study the distributed Nash equilibrium seeking problem for monotone generalized noncooperative games with set constraints and shared affine inequality constraints. A distributed regularized penalty method is proposed. The…
In this paper, we investigate a class of nonzero-sum dynamic stochastic games, where players have linear dynamics and quadratic cost functions. The players are coupled in both dynamics and cost through a linear regression (weighted average)…
Stochastic games generalize Markov decision processes (MDPs) to a multiagent setting by allowing the state transitions to depend jointly on all player actions, and having rewards determined by multiplayer matrix games at each state. We…
We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…
The standard risk minimization paradigm of machine learning is brittle when operating in environments whose test distributions are different from the training distribution due to spurious correlations. Training on data from many…
We study a toy model of linear-quadratic mean field game with delay. We "lift" the delayed dynamic into an infinite dimensional space, and recast the mean field game system which is made of a forward Kolmogorov equation and a backward…
In this paper, we propose an asynchronous distributed algorithm for the computation of generalized Nash equilibria in noncooperative games, where the players interact via an undirected communication graph. Specifically, we extend the paper…
This paper aims to accommodate games in which the players' dynamics are subject to un-modeled and disturbance terms. The un-modeled and disturbance terms are regarded as extended states for which observers are designed to estimate them.…