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

As increasingly capable agents are deployed, a central safety challenge is how to retain meaningful human control without modifying the underlying system. We study a minimal control interface in which an agent chooses whether to act…

Mean field games are studied in the framework of controlled martingale problems, and general existence theorems are proven in which the equilibrium control is Markovian. The framework is flexible enough to include degenerate volatility,…

In the literature on game-theoretic equilibrium finding, focus has mainly been on solving a single game in isolation. In practice, however, strategic interactions -- ranging from routing problems to online advertising auctions -- evolve…

We address the problem of mechanism design for two-stage repeated stochastic games -- a novel setting using which many emerging problems in next-generation electricity markets can be readily modeled. Repeated playing affords the players a…

We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differential equation (FSDE) driven by Brownian motion. We assume…

This paper introduces alignment games, a new class of zero-sum games modeling strategic interventions where effectiveness depends on alignment with an underlying hidden state. Motivated by operational problems in medical diagnostics,…

Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…

We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are…

We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…

In this paper, we explore Bertrand and Cournot Mean Field Games models for market competition with reflection boundary conditions. We prove existence, uniqueness and regularity of solutions to the system of equations, and show that this…

In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…

In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…

We consider a sequential inspection game where an inspector uses a limited number of inspections over a larger number of time periods to detect a violation (an illegal act) of an inspectee. Compared with earlier models, we allow varying…

We consider a Markovian stochastic control problem with model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feed-back (closed-loop) strategies. The adverse player (nature) who does not have a…

The strategic selection of resources by selfish agents has long been a key area of research, with Resource Selection Games and Congestion Games serving as prominent examples. In these traditional frameworks, agents choose from a set of…

The paper is concerned with a variant of the continuous-time finite state Markov game of control and stopping where both players can affect transition rates, while only one player can choose a stopping time. We use the dynamic programming…

We consider zero-sum stochastic differential games with possibly path-dependent controlled state. Unlike the previous literature, we allow for weak solutions of the state equation so that the players' controls are automatically of feedback…

In this paper, we examine the stationary relaxed singular control problem within a multi-dimensional framework for a single agent, as well as its mean field game equivalent. We demonstrate that optimal relaxed controls exist for two problem…

We investigate infinite games on finite graphs where the information flow is perturbed by nondeterministic signalling delays. It is known that such perturbations make synthesis problems virtually unsolvable, in the general case. On the…

In a market system, regulations are designed to prevent or rectify market failures that inhibit fair exchange, such as monopoly or transactions with hidden costs. Because regulations reduce profits to those possessing unfair advantage,…