Related papers: The Optimal Equilibrium for Time-Inconsistent Stop…
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…
Finite-horizon probabilistic multiagent concurrent game systems, also known as finite multiplayer stochastic games, are a well-studied model in computer science due to their ability to represent a wide range of real-world scenarios…
We consider a large population dynamic game in discrete time where players are characterized by time-evolving types. It is a natural assumption that the players' actions cannot anticipate future values of their types. Such games go under…
In this paper, we study a distributed continuous-time design for aggregative games with coupled constraints in order to seek the generalized Nash equilibrium by a group of agents via simple local information exchange. To solve the problem,…
Existing methods for learning Stackelberg equilibria typically assume that the followers' (variational, generalized) Nash equilibrium is unique. However, in the presence of multiple equilibria, without a selection convention, the problem…
Subgame perfect equilibria are specific Nash equilibria in perfect information games in extensive form. They are important because they relate to the rationality of the players. They always exist in infinite games with continuous…
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…
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…
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 investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the state process. As a result, the classical Bellman optimality…
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…
In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…
In this paper, we aim to develop distributed continuous-time algorithms over directed graphs to seek the Nash equilibrium in a noncooperative game. Motivated by the recent consensus-based designs, we present a distributed algorithm with a…
We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in possibly mixed strategies. While a good notion of subgame-perfect equilibrium for continuous-time games is not available…
Distributed Nash equilibrium (NE) seeking problem for multi-coalition games has attracted increasing attention in recent years, but the research mainly focuses on the case without agreement demand within coalitions. This paper considers a…
We study natural improvement dynamics in weighted congestion games with polynomial latencies of maximum degree $d\geq 1$. We focus on two problems regarding the existence and efficiency of approximate pure Nash equilibria, with a reasonable…
We address the Nash equilibrium problem in a partial-decision information scenario, where each agent can only observe the actions of some neighbors, while its cost possibly depends on the strategies of other agents. Our main contribution is…