Related papers: Shortfall Minimization for Game Options in Discret…

In this paper, we provide an effective characterization of all the subgame-perfect equilibria in infinite duration games played on finite graphs with mean-payoff objectives. To this end, we introduce the notion of requirement, and the…

We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the context of investors who do not want to…

In this paper we study the nonzero-sum Dynkin game in continuous time which is a two player non-cooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we…

We consider the problem of budget allocation for competitive influence maximization over social networks. In this problem, multiple competing parties (players) want to distribute their limited advertising resources over a set of social…

We consider two-player non-zero-sum stopping games in discrete time. Unlike Dynkin games, in our games the payoff of each player is revealed after both players stop. Moreover, each player can adjust her own stopping strategy according to…

In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…

Solvency games, introduced by Berger et al., provide an abstract framework for modelling decisions of a risk-averse investor, whose goal is to avoid ever going broke. We study a new variant of this model, where, in addition to stochastic…

Weighted timed games are two-player zero-sum games played in a timed automaton equipped with integer weights. We consider optimal reachability objectives, in which one of the players, that we call Min, wants to reach a target location while…

This paper examines finite zero-sum stochastic games and demonstrates that when the game's duration is sufficiently long, there exists a pair of approximately optimal strategies such that the expected average payoff at any point in the game…

We prove existence of a value for two-player zero-sum stopper vs. singular-controller games on finite-time horizon, when the underlying dynamics is one-dimensional, diffusive and bound to evolve in $[0,\infty)$. We show that the value is…

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…

We relate the property of discrete selectivity and its corresponding game, both recently introduced by V.V. Tkachuck, to a variety of selection principles and point picking games. In particular we show that player II can win the discrete…

We consider multi-player stopping games in continuous time. Unlike Dynkin games, in our games the payoff of each player is revealed after all the players stop. Moreover, each player can adjust her own stopping strategy by observing other…

Generating competitive strategies and performing continuous motion planning simultaneously in an adversarial setting is a challenging problem. In addition, understanding the intent of other agents is crucial to deploying autonomous systems…

Studying continuous time counterpart of some discrete time dynamics is now a standard and fruitful technique, as some properties hold in both setups. In game theory, this is usually done by considering differential games on Euclidean…

To what extent does the structure of the players' strategy space influence the efficiency of decentralized solutions in congestion games? In this work, we investigate whether better performance are possible when restricting to load…

In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…

The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…

We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such…

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…