Related papers: Game-Theoretic Optimal Portfolios in Continuous Ti…
We consider multi-agent decision making where each agent optimizes its convex cost function subject to individual and coupling constraints. The constraint sets are compact convex subsets of a Euclidean space. To learn Nash equilibria, we…
This paper considers a two-player game where each player chooses a resource from a finite collection of options. Each resource brings a random reward. Both players have statistical information regarding the rewards of each resource.…
A strategy profile in a multi-player game is a Nash equilibrium if no player can unilaterally deviate to achieve a strictly better payoff. A profile is an $\epsilon$-Nash equilibrium if no player can gain more than $\epsilon$ by…
An extensive literature in economics and social science addresses contests, in which players compete to outperform each other on some measurable criterion, often referred to as a player's score, or output. Players incur costs that are an…
The Kelly or proportional allocation mechanism is a simple and efficient auction-based scheme that distributes an infinitely divisible resource proportionally to the agents bids. When agents are aware of the allocation rule, their…
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Vo{\ss} (2017). Specifically, both agents track their own stochastic running trading targets while interacting through…
People choose their strategies through a trial-and-error learning process in which they gradually discover that some strategies work better than others. The process can be modelled as an evolutionary game dynamics system, which may be…
The overall aim of our research is to develop techniques to reason about the equilibrium properties of multi-agent systems. We model multi-agent systems as concurrent games, in which each player is a process that is assumed to act…
We present a polynomial-time algorithm that always finds an (approximate) Nash equilibrium for repeated two-player stochastic games. The algorithm exploits the folk theorem to derive a strategy profile that forms an equilibrium by…
We study the problem of computing an $\epsilon$-Nash equilibrium in repeated games. Earlier work by Borgs et al. [2010] suggests that this problem is intractable. We show that if we make a slight change to their model---modeling the players…
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…
Network congestion games are a convenient model for reasoning about routing problems in a network: agents have to move from a source to a target vertex while avoiding congestion, measured as a cost depending on the number of players using…
We consider two-player normal form games where each player has the same finite strategy set. The payoffs of each player are assumed to be i.i.d. random variables with a continuous distribution. We show that, with high probability, the…
A double auction game with an infinite number of buyers and sellers is introduced. All sellers posses one unit of a good, all buyers desire to buy one unit. Each seller and each buyer has a private valuation of the good. The distribution of…
We consider the relation between Sion's minimax theorem for a continuous function and a Nash equilibrium in a multi-players game with two groups which is zero-sum and symmetric in each group. We will show the following results. 1. The…
Two-player complete-information game trees are perhaps the simplest possible setting for studying general-sum games and the computational problem of finding equilibria. These games admit a simple bottom-up algorithm for finding subgame…
Starting from a heuristic learning scheme for N-person games, we derive a new class of continuous-time learning dynamics consisting of a replicator-like drift adjusted by a penalty term that renders the boundary of the game's strategy space…
Of paramount importance in both ecological systems and economic policies are the problems of harvesting of natural resources. A paradigmatic situation where this question is raised is that of fishing strategies. Indeed, overfishing is a…
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…
Successful algorithms have been developed for computing Nash equilibrium in a variety of finite game classes. However, solving continuous games -- in which the pure strategy space is (potentially uncountably) infinite -- is far more…