Related papers: A fixed-point policy-iteration-type algorithm for …
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…
A general model for zero-sum stochastic games with asymmetric information is considered. In this model, each player's information at each time can be divided into a common information part and a private information part. Under certain…
We address payoff-based decentralized learning in infinite-horizon zero-sum Markov games. In this setting, each player makes decisions based solely on received rewards, without observing the opponent's strategy or actions nor sharing…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…
Auctions are modeled as Bayesian games with continuous type and action spaces. Determining equilibria in auction games is computationally hard in general and no exact solution theory is known. We introduce an algorithmic framework in which…
This paper aims at investigating the problem of fast convergence to the Nash equilibrium (NE) for N-Player noncooperative differential games. The proposed method is such that the players attain their NE point without steady-state…
In this article, we discuss two algorithms tailored to discrete-time deterministic finite-horizon nonlinear optimal control problems or so-called deterministic trajectory optimization problems. Both algorithms can be derived from an…
We consider a class of hierarchical noncooperative $N$-player games where the $i$th player solves a parametrized stochastic mathematical program with equilibrium constraints (MPEC) with the caveat that the implicit form of the $i$th…
Conventional noncooperative game theory hypothesizes that the joint strategy of a set of players in a game must satisfy an "equilibrium concept". All other joint strategies are considered impossible; the only issue is what equilibrium…
This work develops an approximation procedure for a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. Both proportional reinsurance and excess-of loss reinsurance policies are…
Continuous-time empirical dynamic discrete choice games offer notable computational advantages over discrete-time models. This paper addresses remaining computational and econometric challenges to further improve both model solution and…
Many important real-world settings contain multiple players interacting over an unknown duration with probabilistic state transitions, and are naturally modeled as stochastic games. Prior research on algorithms for stochastic games has…
Ensuring robust decision-making in multi-agent systems is challenging when agents have distinct, possibly conflicting objectives and lack full knowledge of each other's strategies. This is apparent in safety-critical applications such as…
Saddle point with a given Morse index on a potential energy surface is an important object related to energy landscape in physics and chemistry. Efficient numerical methods based on iterative minimization formulation have been proposed in…
Game-theoretic solution concepts, such as the Nash equilibrium, have been key to finding stable joint actions in multi-player games. However, it has been shown that the dynamics of agents' interactions, even in simple two-player games with…
In this paper we propose a numerical method to obtain an approximation of Nash equilibria for multi-player non-cooperative games with a special structure. We consider the infinite horizon problem in a case which leads to a system of…
We study a finite-horizon two-person zero-sum risk-sensitive stochastic game for continuous-time Markov chains and Borel state and action spaces, in which payoff rates, transition rates and terminal reward functions are allowed to be…
The distributed computation of Nash equilibria is assuming growing relevance in engineering where such problems emerge in the context of distributed control. Accordingly, we present schemes for computing equilibria of two classes of static…
Stochastic differential games have been used extensively to model agents' competitions in Finance, for instance, in P2P lending platforms from the Fintech industry, the banking system for systemic risk, and insurance markets. The recently…
In this paper, we study nonzero-sum separable games, which are continuous games whose payoffs take a sum-of-products form. Included in this subclass are all finite games and polynomial games. We investigate the structure of equilibria in…