Related papers: Systemic Risk and Stochastic Games with Delay

We study nonzero-sum stochastic games for continuous time Markov decision processes on a denumerable state space with risk-sensitive ergodic cost criterion. Transition rates and cost rates are allowed to be unbounded. Under a Lyapunov type…

This paper considers a class of generalized convex games where each player is associated with a convex objective function, a convex inequality constraint and a convex constraint set. The players aim to compute a Nash equilibrium through…

In this paper, we apply the idea of fictitious play to design deep neural networks (DNNs), and develop deep learning theory and algorithms for computing the Nash equilibrium of asymmetric $N$-player non-zero-sum stochastic differential…

The paper addresses a problem of sequential bilateral bargaining with incomplete information. We proposed a decision model that helps agents to successfully bargain by performing indirect negotiation and learning the opponent's model.…

We consider a class of dynamic collective choice models with social interactions, whereby a large number of non-uniform agents have to individually settle on one of multiple discrete alternative choices, with the relevance of their would-be…

We examine the routing problem for self-interested vehicles using stochastic decision strategies. By approximating the road latency functions and a non-linear variable transformation, we frame the problem as an aggregative game. We…

We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…

This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The…

Precise description of population game dynamics introduced by revision protocols - an economic model describing the agent's propensity to switch to a better-performing strategy - is of importance in economics and social sciences in general.…

Recent extensions to dynamic games of the well-known fictitious play learning procedure in static games were proved to globally converge to stationary Nash equilibria in two important classes of dynamic games (zero-sum and…

In this work, we study stochastic non-cooperative games, where only noisy black-box function evaluations are available to estimate the cost function for each player. Since each player's cost function depends on both its own decision…

This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…

In this paper, the problem of finding a Nash equilibrium of a multi-player game is considered. The players are only aware of their own cost functions as well as the action space of all players. We develop a relatively fast algorithm within…

In this paper, we consider a novel $M$-ary sequential hypothesis testing problem in which an adversary is present and perturbs the distributions of the samples before the decision maker observes them. This problem is formulated as a…

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…

We investigate asynchronous distributed algorithms with delayed information for seeking generalized Nash equilibrium over multi-agent networks. The considered game model has all players' local decisions coupled with a shared affine…

Dynamic games can be an effective approach to modeling interactive behavior between multiple non-cooperative agents and they provide a theoretical framework for simultaneous prediction and control in such scenarios. In this work, we propose…

In game theory, the concept of Nash equilibrium reflects the collective stability of some individual strategies chosen by selfish agents. The concept pertains to different classes of games, e.g. the sequential games, where the agents play…

Nash equilibrium is a key concept in game theory fundamental for elucidating the equilibrium state of strategic interactions, finding applications in diverse fields such as economics, political science, and biology. However, the Nash…

Feedback Nash equilibrium strategies in multi-agent dynamic games require availability of all players' state information to compute control actions. However, in real-world scenarios, sensing and communication limitations between agents make…