Related papers: Shortfall Minimization for Game Options in Discret…

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…

The paper is concerned with a zero-sum differential game in the case where a payoff is determined by the exit time, that is, the first time when the system leaves the game domain. Additionally, we assume that a part of domain's boundary is…

In this paper, online game is studied, where at each time, a group of players aim at selfishly minimizing their own time-varying cost function simultaneously subject to time-varying coupled constraints and local feasible set constraints.…

We consider a two-player zero-sum stochastic differential game in which one of the players has a private information on the game. Both players observe each other, so that the non-informed player can try to guess his missing information. Our…

This paper investigates the discrete-time asynchronous games in which noncooperative agents seek to minimize their individual cost functions. Building on the assumption of partial asynchronism, i.e., each agent updates at least once within…

We find that the existence of self-organization of the members of a recently proposed minority game, depends on the type of update rules used. The resulting resource distribution is studied in some detail, and a related strategy scheme is…

This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…

We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…

Equilibrium in Economics has been seldom addressed in a situation where some variables are discrete. This work introduces a problem related to lot-sizing with several players, and analyses some strategies which are likely to be found in…

We consider mean field games with discrete state spaces (called discrete mean field games in the following) and we analyze these games in continuous and discrete time, over finite as well as infinite time horizons. We prove the existence of…

Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time consistent strategies with no regret. Equilibria among…

This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…

We introduce a discrete-time search game, in which two players compete to find an object first. The object moves according to a time-varying Markov chain on finitely many states. The players know the Markov chain and the initial probability…

We study the infinite horizon discrete time N-player nonzero-sum Dynkin game ($N \geq 2$) with stopping times as strategies (or pure strategies). We prove existence of an $\varepsilon$-Nash equilibrium point for the game by presenting a…

We study zero-sum repeated games where the minimizing player has to pay a certain cost each time he changes his action. Our contribution is twofold. First, we show that the value of the game exists in stationary strategies, depending solely…

In this paper, we consider discrete-time partially observed mean-field games with the risk-sensitive optimality criterion. We introduce risk-sensitivity behaviour for each agent via an exponential utility function. In the game model, each…

Shortest-path games are two-player zero-sum games played on a graph equipped with integer weights. One player, that we call Min, wants to reach a target set of states while minimising the total weight, and the other one has an antagonistic…

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…

Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general,…

We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…