Related papers: Forward Backward Stochastic Differential Equation …

This work proposes a novel distributed approach for computing a Nash equilibrium in convex games with restricted strongly monotone pseudo-gradients. By leveraging the idea of the centralized operator extrapolation method presented in [4] to…

We solve the stochastic generalized Nash equilibrium (SGNE) problem in merely monotone games with expected value cost functions. Specifically, we present the first distributed SGNE seeking algorithm for monotone games that requires one…

We study a setting in which two players play a (possibly approximate) Nash equilibrium of a bimatrix game, while a learner observes only their actions and has no knowledge of the equilibrium or the underlying game. A natural question is…

This paper proposes and analyzes two neural network methods to solve the master equation for finite-state mean field games (MFGs). Solving MFGs provides approximate Nash equilibria for stochastic, differential games with finite but large…

One key in real-life Nash equilibrium applications is to calibrate players' cost functions. To leverage the approximation ability of neural networks, we proposed a general framework for optimizing and learning Nash equilibrium using neural…

Nash equilibrium has long been a desired solution concept in multi-player games, especially for those on continuous strategy spaces, which have attracted a rapidly growing amount of interests due to advances in research applications such as…

We use a simple N-player stochastic game with idiosyncratic and common noises to introduce the concept of Master Equation originally proposed by Lions in his lectures at the Coll\`ege de France. Controlling the limit N tends to the infinity…

One of the contributions of this work is to formulate the problem of energy-efficient power control in multiple access channels (namely, channels which comprise several transmitters and one receiver) as a stochastic differential game. The…

This paper considers a class of noncooperative games in which the feasible decision sets of all players are coupled together by a coupled inequality constraint. Adopting the variational inequality formulation of the game, we first introduce…

We consider a general-sum N-player linear-quadratic game with stochastic dynamics over a finite horizon and prove the global convergence of the natural policy gradient method to the Nash equilibrium. In order to prove the convergence of the…

We introduce a simple stochastic dynamics for game theory. It assumes ``local'' rationality in the sense that any player climbs the gradient of his utility function in the presence of a stochastic force which represents deviation from…

In this paper, an open-loop two-person non-zero sum stochastic differential game is considered for forward-backward stochastic systems. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional…

We introduce an analytical model to study the evolution towards equilibrium in spatial games, with `memory-aware' agents, i.e., agents that accumulate their payoff over time. In particular, we focus our attention on the spatial Prisoner's…

Computing Nash equilibria for strategic multi-agent systems is challenging for expensive black box systems. Motivated by the ubiquity of games involving exploitation of common resources, this paper considers the above problem for potential…

Latent neural stochastic differential equations (SDEs) have recently emerged as a promising approach for learning generative models from stochastic time series data. However, they systematically underestimate the noise level inherent in…

We prove a stochastic maximum principle for a control problem where the state equation is delayed both in the state and in the control, and also the final cost functional may depend on the past trajectories. The adjoint equations turn out…

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…

In this paper, we introduce various machine learning solvers for (coupled) forward-backward systems of stochastic differential equations (FBSDEs) driven by a Brownian motion and a Poisson random measure. We provide a rigorous comparison of…

We study deterministic nonstationary discrete-time optimal control problems in both finite and infinite horizon. With the aid of Gateaux differentials, we prove a discrete-time maximum principle in analogy with the well-known…

In this paper we propose a new operator splitting algorithm for distributed Nash equilibrium seeking under stochastic uncertainty, featuring relaxation and inertial effects. Our work is inspired by recent deterministic operator splitting…