Related papers: Game-Theoretic Optimal Portfolios for Jump Diffusi…
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player…
In decision-dependent games, multiple players optimize their decisions under a data distribution that shifts with their joint actions, creating complex dynamics in applications like market pricing. A practical consequence of these dynamics…
Assignment games represent a tractable yet versatile model of two-sided markets with transfers. We study the likely properties of the core of randomly generated assignment games. If the joint productivities of every firm and worker are…
We study two-player zero-sum stochastic games, and propose a form of independent learning dynamics called Doubly Smoothed Best-Response dynamics, which integrates a discrete and doubly smoothed variant of the best-response dynamics into…
We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse…
In the online portfolio optimization framework, existing learning algorithms generate strategies that yield significantly poorer cumulative wealth compared to the best constant rebalancing portfolio in hindsight, despite being consistent in…
In information theory, one area of interest is gambling, where mutual information characterizes the maximal gain in wealth growth rate due to knowledge of side information; the betting strategy that achieves this maximum is named the Kelly…
A population of committees of agents that learn by using neural networks is implemented to simulate the stock market. Each committee of agents, which is regarded as a player in a game, is optimised by continually adapting the architecture…
In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…
In this paper we introduce a new two-player zero-sum game whose value function approximates the level set formulation for the geometric evolution by mean curvature of a hypersurface. In our approach the game is played with symmetric rules…
We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…
This paper considers the noncooperative maximization of mutual information in the Gaussian interference channel in a fully distributed fashion via game theory. This problem has been studied in a number of papers during the past decade for…
We review some fundamental concepts of investment from a mathematical perspective, concentrating specifically on fractional-Kelly portfolios, which allocate a fraction of wealth to a growth-optimal portfolio while the remainder collects (or…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
We propose a new class of games, called Multi-Games (MG), in which a given number of players play a fixed number of basic games simultaneously. In each round of the MG, each player will have a specific set of weights, one for each basic…
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial…
This paper considers information sharing in a multi-player repeated game. Every round, each player observes a subset of components of a random vector and then takes a control action. The utility earned by each player depends on the full…
In a two-player zero-sum graph game the players move a token throughout a graph to produce an infinite path, which determines the winner or payoff of the game. Traditionally, the players alternate turns in moving the token. In {\em bidding…
In [1] we presented a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we were able to redefine concepts like account balance, yield…
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…