Related papers: Game-Theoretic Optimal Portfolios in Continuous Ti…

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…

For a sequence of binary bets, the Kelly criterion provides a closed-form solution that maximizes the expected growth rate of wealth. In contrast, when multiple bets are placed simultaneously (e.g., in portfolio allocation or prediction…

We prove that in a normal form n-player game with m actions for each player, there exists an approximate Nash equilibrium where each player randomizes uniformly among a set of O(log(m) + log(n)) pure strategies. This result induces an…

This work studies Nash equilibrium seeking for a class of stochastic aggregative games, where each player has an expectation-valued objective function depending on its local strategy and the aggregate of all players' strategies. We propose…

One of the contributions of this work is to formulate the problem of energy-efficient power control in multiple access channels (namely, channels which comprise several transmitters and one receiver) as a stochastic differential game. The…

The paper is concerned with a two-player nonzero-sum differential game in the case when players are informed about the current position. We consider the game in control with guide strategies first proposed by Krasovskii and Subbotin. The…

The study of equilibrium concepts in congestion games and two-sided markets with ties has been a primary topic in game theory, economics, and computer science. Ackermann, Goldberg, Mirrokni, R\"oglin, V\"ocking (2008) gave a common…

We study a stochastic differential game with $N$ competitive players in a linear-quadratic framework with ergodic cost, where $d$-dimensional diffusion processes govern the state dynamics with an unknown common drift (matrix). Assuming a…

We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…

One key in real-life Nash equilibrium applications is to calibrate players' cost functions. To leverage the approximation ability of neural networks, we proposed a general framework for optimizing and learning Nash equilibrium using neural…

We consider the problem of learning sparse polymatrix games from observations of strategic interactions. We show that a polynomial time method based on $\ell_{1,2}$-group regularized logistic regression recovers a game, whose Nash…

In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…

We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is…

This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…

A group of players which contain n sellers and n buyers bargain over the partitions of n pies. A seller(/buyer) has to reach an agreement with a buyer (/seller) on the division of a pie. The players bargain in a system like the stock…

Motivated by the scarcity of accurate payoff feedback in practical applications of game theory, we examine a class of learning dynamics where players adjust their choices based on past payoff observations that are subject to noise and…

We study the existence of mixed-strategy equilibria in concurrent games played on graphs. While existence is guaranteed with safety objectives for each player, Nash equilibria need not exist when players are given arbitrary terminal-reward…

We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…

In single-agent Markov decision processes, an agent can optimize its policy based on the interaction with environment. In multi-player Markov games (MGs), however, the interaction is non-stationary due to the behaviors of other players, so…

The two-players N strategies games quantized according to the Eisert-Lewenstein-Wilkens scheme [1] are considered. It is shown that in the case of maximal entanglement no nontrivial pure Nash equilibrium exists. The proof relies on simple…