Related papers: Stochastic Switching Games
We investigate a mean field game model for the production of exhaustible resources. In this model, firms produce comparable goods, strategically set their production rate in order to maximise profit, and leave the market as soon as they…
A distributed Nash equilibrium seeking algorithm is presented for networked games. We assume an incomplete information available to each player about the other players' actions. The players communicate over a strongly connected digraph to…
This paper considers dynamic (multi-stage) signaling games involving an encoder and a decoder who have subjective models on the cost functions. We consider both Nash (simultaneous-move) and Stackelberg (leader-follower) equilibria of…
Game theory is playing more and more important roles in understanding complex systems and in investigating intelligent machines with various uncertainties. As a starting point, we consider the classical two-player zero-sum linear-quadratic…
This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action, and benefits from the improvement of the condition of the overall population. Based on an…
In this paper we unify, simplify, and extend previous work on the evolutionary dynamics of symmetric $N$-player matrix games with two pure strategies. In such games, gains from switching strategies depend, in general, on how many other…
We introduce a game in which two players with opposing objectives seek to repeatedly takeover a common resource. The resource is modeled as a discrete time dynamical system over which a player can gain control after spending a…
This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless…
We investigate Nash equilibrium learning in a competitive Markov Game (MG) environment, where multiple agents compete, and multiple Nash equilibria can exist. In particular, for an oligopolistic dynamic pricing environment, exact Nash…
We investigate a linear quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind turbine farm. Players are time-inconsistent because they discount performance with a non-constant rate. Our…
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of $N$ banks is described by coupled diffusions driven by controls with delay in their drifts.…
In this paper, a Nash-type fictitious game framework is introduced to handle a time-inconsistent linear-quadratic optimal control. The Nash-type game in this framework is called fictitious as it is between the decision maker (called real…
This paper introduces an equilibrium framework based on sequential sampling in which players face strategic uncertainty over their opponents' behavior and acquire informative signals to resolve it. Sequential sampling equilibrium delivers a…
This paper presents a learning dynamic with almost sure convergence guarantee for any stochastic game with turn-based controllers (on state transitions) as long as stage-payoffs induce a zero-sum or identical-interest game. Stage-payoffs…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
This paper presents a pioneering investigation into discrete-time two-person non-zero-sum linear quadratic (LQ) stochastic games with random coefficients. We derive necessary and sufficient conditions for the existence of open-loop Nash…
This paper is concerned with non-zero sum differential games of mean-field stochastic differential equations with partial information and convex control domain. First, applying the classical convex variations, we obtain stochastic maximum…
Mean field games formalize dynamic games with a continuum of players and explicit interaction where the players can have heterogeneous states. As they additionally yield approximate equilibria of corresponding $N$-player games, they are of…
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…
We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…