Related papers: Game-Theoretic Optimal Portfolios in Continuous Ti…
In this paper, the problem of finding a Nash equilibrium of a multi-player game is considered. The players are only aware of their own cost functions as well as the action space of all players. We develop a relatively fast algorithm within…
In this work we study of competitive situations among users of a set of global resources. More precisely we study the effect of cost policies used by these resources in the convergence time to a pure Nash equilibrium. The work is divided in…
Prompted by a recent experiment by Victor Haghani and Richard Dewey, this note generalises the Kelly strategy (optimal for simple investment games with log utility) to a large class of practical utility functions and including the effect of…
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…
Predicting selfish behavior in public environments by considering Nash equilibria is a central concept of game theory. For the dynamic traffic assignment problem modeled by a flow over time game, in which every particle tries to reach its…
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…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
The finitely repeated Prisoners' Dilemma is a good illustration of the discrepancy between the strategic behaviour suggested by a game-theoretic analysis and the behaviour often observed among human players, where cooperation is maintained…
We analyse the computational complexity of finding Nash equilibria in turn-based stochastic multiplayer games with omega-regular objectives. We show that restricting the search space to equilibria whose payoffs fall into a certain interval…
We consider two player quadratic games in a cooperative framework known as social value orientation, motivated by the need to account for complex interactions between humans and autonomous agents in dynamical systems. Social value…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
We study generalized games with full row rank equality constraints and we provide a strikingly simple proof of strong monotonicity of the associated KKT operator. This allows us to show linear convergence to a variational equilibrium of the…
This paper develops a novel methodology to study robust stability properties of Nash equilibrium points in dynamic games. Small-gain techniques in modern mathematical control theory are used for the first time to derive conditions…
The aim of this paper is to formulate and study a stochastic model for the management of environmental assets in a geographical context where in each place the local authorities take their policy decisions maximizing their own welfare,…
To verify the robustness of a program or protocol, it is common in the computer science community to rely on the theoretical framework of game theory. In particular, if one seeks to enforce a desired property, or specification, despite an…
In this paper we establish a new connection between a class of 2-player nonzero-sum games of optimal stopping and certain $2$-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is…
Although it has been known since the 1970s that a globally optimal strategy profile in a common-payoff game is a Nash equilibrium, global optimality is a strict requirement that limits the result's applicability. In this work, we show that…
A robust game is a distribution-free model to handle ambiguity generated by a bounded set of possible realizations of the values of players' payoff functions. The players are worst-case optimizers and a solution, called robust-optimization…