Related papers: Nash Equilibria in Optimal Reinsurance Bargaining

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…

We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…

In this paper, we consider $n$ agents who invest in a general financial market that is free of arbitrage and complete. The aim of each investor is to maximize her expected utility while ensuring, with a specified probability, that her…

Multiagent learning settings are inherently more difficult than single-agent learning because each agent interacts with other simultaneously learning agents in a shared environment. An effective approach in multiagent reinforcement learning…

Correlated equilibria arise naturally when agents communicate or rely on intermediaries such as recommendation systems. We study when a given Nash equilibrium can be improved within the set of correlated equilibria for general objectives.…

We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…

This paper presents a multi-agent reinforcement learning algorithm to represent strategic bidding behavior in freight transport markets. Using this algorithm, we investigate whether feasible market equilibriums arise without any central…

In many game-theoretic settings, agents are challenged with taking decisions against the uncertain behavior exhibited by others. Often, this uncertainty arises from multiple sources, e.g., incomplete information, limited computation,…

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…

Multiplayer games with selfish agents naturally occur in the design of distributed and embedded systems. As the goals of selfish agents are usually neither equivalent nor antagonistic to each other, such games are non zero-sum games. We…

We consider the problem of allocating divisible items among multiple agents, and consider the setting where any agent is allowed to introduce diversity constraints on the items they are allocated. We motivate this via settings where the…

We study the problem of a planner who resolves risk-return trade-offs - like financial investment decisions - on behalf of a collective of agents with heterogeneous risk preferences. The planner's objective is a two-stage utility functional…

We study risk-sensitive multi-agent reinforcement learning under general-sum Markov games, where agents optimize the entropic risk measure of rewards with possibly diverse risk preferences. We show that using the regret naively adapted from…

We consider multi-agent decision making, where each agent optimizes its cost function subject to constraints. Agents' actions belong to a compact convex Euclidean space and the agents' cost functions are coupled. We propose a distributed…

We consider repeated allocation of a shared resource via a non-monetary mechanism, wherein a single item must be allocated to one of multiple agents in each round. We assume that each agent has i.i.d. values for the item across rounds, and…

The decisions that human beings make to allocate time has significant bearing on economic output and to the sustenance of social networks. The time allocation problem motivates our formal analysis of the resource allocation game, where…

We consider a security game in a setting consisting of two players (an attacker and a defender), each with a given budget to allocate towards attack and defense, respectively, of a set of nodes. Each node has a certain value to the attacker…

Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…

The standard game-theoretic solution concept, Nash equilibrium, assumes that all players behave rationally. If we follow a Nash equilibrium and opponents are irrational (or follow strategies from a different Nash equilibrium), then we may…