Related papers: Systemic Risk and Stochastic Games with Delay

In finite games mixed Nash equilibria always exist, but pure equilibria may fail to exist. To assess the relevance of this nonexistence, we consider games where the payoffs are drawn at random. In particular, we focus on games where a large…

Many economic transactions, including those of online markets, have a time lag between the start and end times of transactions. Customers need to wait for completion of their transaction (order fulfillment) and hence are also interested in…

We address a noncooperative game problem in multi-controller system under delayed and asymmetric information structure. Under these conditions, the classical separation principle fails as estimation and control design become strongly…

This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747,…

We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…

Predicting selfish behavior in public environments by considering Nash equilibria is a central concept of game theory. For the dynamic traffic assignment problem modeled by a flow over time game, in which every particle tries to reach its…

Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…

In this paper, we investigate the noncooperative games of multi-agent systems. Different from existing noncooperative games, our formulation involves the high-order nonlinear dynamics of players, and the communication topologies among…

We consider a two-player linear-state differential game, where one player intervenes continuously in the game, while the other implements an impulse control. When the impulse instants are exogenous, we obtain the classical result in…

We investigate a linear quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind turbine farm. Players are time-inconsistent because they discount performance with a non-constant rate. Our…

In this paper, we study Nash equilibrium payoffs for nonzero-sum stochastic differential games via the theory of backward stochastic differential equations. We obtain an existence theorem and a characterization theorem of Nash equilibrium…

This paper explores aggregative games in a network of general linear systems subject to external disturbances. To deal with external disturbances, distributed strategy-updating rules based on internal model are proposed for the case with…

This paper is concerned with an overlapping information linear-quadratic (LQ) Stackelberg stochastic differential game with two leaders and two followers, where the diffusion terms of the state equation contain both the control and state…

Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…

In general, Nash equilibria in normal-form games may require players to play (probabilistically) mixed strategies. We define a measure of the complexity of finite probability distributions and study the complexity required to play Nash…

We analyse the computational complexity of finding Nash equilibria in stochastic multiplayer games with $\omega$-regular objectives. While the existence of an equilibrium whose payoff falls into a certain interval may be undecidable, we…

We introduce a variant of the classic poker game blackjack -- the continuous blackjack. We study the Nash Equilibrium as well as the case where players deviate from it. We then pivot to the study of a large class of adaptive strategies and…

Multi-time scale techniques, such as singular perturbations and averaging theory, have played an essential role in the development of distributed Nash equilibrium-seeking algorithms for network systems. Such techniques intrinsically rely on…

Delays and stochasticity have both served as crucially valuable ingredients in mathematical descriptions of control, physical, and biological systems. In this work, we investigate how explicitly dynamical stochasticity in delays modulates…

The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to…