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

We analyze, both analytically and numerically, the self-organization of a system of "selfish" adaptive agents playing an arbitrary iterated pairwise game (defined by a 2X2 payoff matrix). Examples of possible games to play are: the…

We propose the concept of a Lagrangian game to solve constrained Markov games. Such games model scenarios where agents face cost constraints in addition to their individual rewards, that depend on both agent joint actions and the evolving…

We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider…

We introduce a generalized Dynkin game problem with non linear conditional expectation ${\cal E}$ induced by a Backward Stochastic Differential Equation (BSDE) with jumps. Let $\xi, \zeta$ be two RCLL adapted processes with $\xi \leq…

We investigate the dynamics of a trust game on a mixed population where individuals with the role of buyers are forced to play against a predetermined number of sellers, whom they choose dynamically. Agents with the role of sellers are also…

We introduce one-way games, a framework motivated by applications in large-scale power restoration, humanitarian logistics, and integrated supply-chains. The distinguishable feature of the games is that the payoff of some player is…

A basic question for zero-sum repeated games consists in determining whether the mean payoff per time unit is independent of the initial state. In the special case of "zero-player" games, i.e., of Markov chains equipped with additive…

In this paper, we study nonzero-sum separable games, which are continuous games whose payoffs take a sum-of-products form. Included in this subclass are all finite games and polynomial games. We investigate the structure of equilibria in…

We introduce a model of sender-receiver stopping games, where the state of the world follows an iid--process throughout the game. At each period, the sender observes the current state, and sends a message to the receiver, suggesting either…

Network games provide a natural machinery to compactly represent strategic interactions among agents whose payoffs exhibit sparsity in their dependence on the actions of others. Besides encoding interaction sparsity, however, real networks…

We study nonzero-sum stochastic switching games. Two players compete for market dominance through controlling (via timing options) the discrete-state market regime $M$. Switching decisions are driven by a continuous stochastic factor $X$…

Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…

We show that a threshold in decision capacity determines whether self-play reinforcement learning agents collapse under asymmetric rule perturbations. Across poker variants, matrix games, a dice game, and multiple learning algorithms,…

We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…

Repeated game has long been the touchstone model for agents' long-run relationships. Previous results suggest that it is particularly difficult for a repeated game player to exert an autocratic control on the payoffs since they are jointly…

The purpose of this paper is to study 2-person zero-sum stochastic differential games, in which one player is a major one and the other player is a group of $N$ minor agents which are collectively playing, statistically identical and have…

Graph games are fundamental in strategic reasoning of multi-agent systems and their environments. We study a new family of graph games which combine stochastic environmental uncertainties and auction-based interactions among the agents,…

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…

Traders on financial markets generate non-Markovian effects in various ways, particularly through their competition with one another which can be interpreted as a game between different (types of) traders. To quantify the market mechanisms,…

We study a Stackelberg variant of the classical discrete-time Dynkin game, in which Player 1 (the leader) commits to a stopping strategy first and Player 2 (the follower) responds optimally. This leader-follower structure induces an optimal…