Related papers: Playing with ghosts in a Dynkin game

We obtain a verification theorem for solving a Dynkin game driven by a L\'evy process. The result requires finding two averaging functions that, composed respectively with the supremum and the infimum of the process, summed, and taked the…

A fundamental open problem in monotone game theory is the computation of a specific generalized Nash equilibrium (GNE) among all the available ones, e.g. the optimal equilibrium with respect to a system-level objective. The existing GNE…

In this paper we propose and analyze a class of $N$-player stochastic games that include finite fuel stochastic games as a special case. We first derive sufficient conditions for the Nash equilibrium (NE) in the form of a verification…

We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…

We address the problem of finding conditions which guarantee the existence of open-loop Nash equilibria in discrete time dynamic games (DTDGs). The classical approach to DTDGs involves analyzing the problem using optimal control theory…

We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…

Generating payoff matrices of normal-form games at random, we calculate the frequency of games with a unique pure strategy Nash equilibrium in the ensemble of $n$-player, $m$-strategy games. These are perfectly predictable as they must…

We introduce an efficient numerical scheme for continuous time Dynkin games under model uncertainty. We use the Skorokhod embedding in order to construct recombining tree approximations. This technique allows us to determine convergence…

Understanding the properties of games played under computational constraints remains challenging. For example, how do we expect rational (but computationally bounded) players to play games with a prohibitively large number of states, such…

We study natural improvement dynamics in weighted congestion games with polynomial latencies of maximum degree $d\geq 1$. We focus on two problems regarding the existence and efficiency of approximate pure Nash equilibria, with a reasonable…

We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…

In this paper we present a new competitive packet routing model with edge priorities. We consider players that route selfishly through a network over time and try to reach their destinations as fast as possible. If the number of players who…

Learning processes in games explain how players grapple with one another in seeking an equilibrium. We study a natural model of learning based on individual gradients in two-player continuous games. In such games, the arguably natural…

In this paper, we consider a large class of constrained non-cooperative stochastic Markov games with countable state spaces and discounted cost criteria. In one-player case, i.e., constrained discounted Markov decision models, it is…

We present novel techniques for neuro-symbolic concurrent stochastic games, a recently proposed modelling formalism to represent a set of probabilistic agents operating in a continuous-space environment using a combination of neural network…

We show that equilibria of a sequential semi-anonymous nonatomic game (SSNG) can be adopted by players in corresponding large but finite dynamic games to achieve near-equilibrium payoffs. Such equilibria in the form of random…

We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…

We develop a general game-theoretic framework for reasoning about strategic agents performing possibly costly computation. In this framework, many traditional game-theoretic results (such as the existence of a Nash equilibrium) no longer…

We study a very general class of games --- multi-dimensional aggregative games --- which in particular generalize both anonymous games and weighted congestion games. For any such game that is also large, we solve the equilibrium selection…

The term rational has become synonymous with maximizing expected payoff in the definition of the best response in Nash setting. In this work, we consider stochastic games in which players engage only once, or at most a limited number of…