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

We study Bayesian coordination games where agents receive noisy private information over the game's payoff structure, and over each others' actions. If private information over actions is precise, we find that agents can coordinate on…

A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…

Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…

We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach…

This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who…

In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individual entry threshold that represents their belief in the…

Markov decision process (MDP) congestion game is an extension of classic congestion games, where a continuous population of selfish agents solves Markov decision processes with congestion: the payoff of a strategy decreases as more…

This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…

This paper analyses a stochastic differential game of control and stopping in which one of the players modifies a diffusion process using impulse controls, an adversary then chooses a stopping time to end the game. The paper firstly…

In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…

In repeated games, such as auctions, players rely on autonomous learning agents to choose their actions. We study settings in which players have their agents make monetary transfers to other agents during play at their own expense, in order…

Coalitional control is concerned with the management of multi-agent systems where cooperation cannot be taken for granted (due to, e.g., market competition, logistics). This paper proposes a model predictive control (MPC) framework aimed at…

Many real-world systems such as taxi systems, traffic networks and smart grids involve self-interested actors that perform individual tasks in a shared environment. However, in such systems, the self-interested behaviour of agents produces…

Traditional solvable game theory and mean-field-type game theory (risk-aware games) predominantly focus on quadratic costs due to their analytical tractability. Nevertheless, they often fail to capture critical non-linearities inherent in…

In this paper, we study the existence of equilibrium in a single-leader-multiple-follower game with decision-dependent chance constraints (DDCCs), where decision-dependent uncertainties (DDUs) exist in the constraints of followers. DDUs…

In dynamic noncooperative games, each player makes conjectures about other players' reactions before choosing a strategy. However, resulting equilibria may be multiple and do not always lead to desirable outcomes. These issues are typically…

Markov Potential Games (MPGs) form an important sub-class of Markov games, which are a common framework to model multi-agent reinforcement learning problems. In particular, MPGs include as a special case the identical-interest setting where…

A multi-player competitive Dynkin stopping game is constructed. Each player can either exit the game for a fixed payoff, determined a priori, or stay and receive an adjusted payoff depending on the decision of other players. The single…

We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a non-zero-sum…

We consider the interaction among agents engaging in a driving task and we model it as general-sum game. This class of games exhibits a plurality of different equilibria posing the issue of equilibrium selection. While selecting the most…