Related papers: Shortfall Minimization for Game Options in Discret…

We propose a new dynamics for equilibrium selection of finite player discrete strategy games. The dynamics is motivated by optimal transportation, and models individual players' myopicity, greedy and uncertainty when making decisions. The…

In this work we apply methods from cryptography to enable any number of mutually distrusting players to implement broad classes of mediated equilibria of strategic games without the need for trusted mediation. Our implementation makes use…

The planning problem for the mean field game implies the one tries to transfer the system of infinitely many identical rational agents from the given distribution to the final one using the choice of the terminal payoff. It can be…

We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing times for the hedging portfolio which enable him…

Discounted-sum games provide a formal model for the study of reinforcement learning, where the agent is enticed to get rewards early since later rewards are discounted. When the agent interacts with the environment, she may regret her…

An active line of research has considered games played on networks in which payoffs depend on both a player's individual decision and also the decisions of her neighbors. Such games have been used to model issues including the formation of…

We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…

In an incomplete market driven by time-changed L\'evy noises we consider the problem of hedging a financial position coupled with the underlying risk of model uncertainty. Then we study hedging under worst-case-scenario. The proposed…

This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The…

We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing…

This article focuses two issues related to the first-order discounted mean field games system. The first is the time discretization problem. The time discretization approach enables us to prove the existence of solutions (u,m) of the…

We prove that every finite two-person shortest path game, where the local cost of every move is positive for each player, has a Nash equilibrium (NE) in pure stationary strategies, which can be computed in polynomial time. We also extend…

We consider discrete time partially observable zero-sum stochastic game with average payoff criterion. We study the game using an equivalent completely observable game. We show that the game has a value and also we come up with a pair of…

We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…

We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function…

We study deterministic nonstationary discrete-time optimal control problems in both finite and infinite horizon. With the aid of Gateaux differentials, we prove a discrete-time maximum principle in analogy with the well-known…

We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and invests in a Black-Scholes financial…

Regret minimization is a general approach to online optimization which plays a crucial role in many algorithms for approximating Nash equilibria in two-player zero-sum games. The literature mainly focuses on solving individual games in…

This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with…

Congestion games are attractive because they can model many concrete situations where some competing entities interact through the use of some shared resources, and also because they always admit pure Nash equilibria which correspond to the…