Related papers: Control-stopping Games for Market Microstructure a…

An active line of research has considered games played on networks in which payoffs depend on both a player's individual decision and also the decisions of her neighbors. Such games have been used to model issues including the formation of…

It is a challenging task to reach global cooperation among self-interested agents, which often requires sophisticated design or usage of incentives. For example, we may apply supervisors or referees who are able to detect and punish…

We consider Stackelberg pricing games, which are also known as bilevel pricing problems, or combinatorial price-setting problems. This family of problems consists of games between two players: the leader and the follower. There is a market…

This paper presents a technique for approximating, up to any precision, the set of subgame-perfect equilibria (SPE) in discounted repeated games. The process starts with a single hypercube approximation of the set of SPE. Then the initial…

We consider multi-player stopping games in continuous time. Unlike Dynkin games, in our games the payoff of each player is revealed after all the players stop. Moreover, each player can adjust her own stopping strategy by observing other…

In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…

This paper studies the finite-time horizon Markov games where the agents' dynamics are decoupled but the rewards can possibly be coupled across agents. The policy class is restricted to local policies where agents make decisions using their…

We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock…

We study mean field games with scalar It{\^o}-type dynamics and costs that are submodular with respect to a suitable order relation on the state and measure space. The submodularity assumption has a number of interesting consequences.…

In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the…

Some of the most relevant future applications of multi-agent systems like autonomous driving or factories as a service display mixed-motive scenarios, where agents might have conflicting goals. In these settings agents are likely to learn…

Expanding the ideas of the author's paper 'Nonexpansive maps and option pricing theory' (Kibernetica 34:6 (1998), 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral…

In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…

We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…

In~[1],authors considered a general finite horizon model of dynamic game of asymmetric information, where N players have types evolving as independent Markovian process, where each player observes its own type perfectly and actions of all…

In this paper, we introduce a novel equilibrium concept, called the equilibrium cycle, which seeks to capture the outcome of oscillatory game dynamics. Unlike the (pure) Nash equilibrium, which defines a fixed point of mutual best…

In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain $2$-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is…

Principal agent games are a growing area of research which focuses on the optimal behaviour of a principal and an agent, with the former contracting work from the latter, in return for providing a monetary award. While this field…

We consider the dynamics, existence and stability of the equilibrium states for large populations of individuals who can play various types of non--cooperative games. The players imitate the most attractive strategies, and the choice is…

We discuss a class of explicitly solvable mean field type control problems/mean field games with a clear economic interpretation. More precisely, we consider long term average impulse control problems with underlying general one-dimensional…