Related papers: A two-player portfolio tracking game
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…
In this paper, we consider a network of consumers who are under the combined influence of their neighbors and external influencing entities (the marketers). The consumers' opinion follows a hybrid dynamics whose opinion jumps are due to the…
We study discrete two player all-pay auction with complete information. We provide full characterization of mixed strategy Nash equilibria and show that they constitute a subset of Nash equilibria of discrete General Lotto game. We show…
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…
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…
Recently, strategic games inspired by Schelling's influential model of residential segregation have been studied in the TCS and AI literature. In these games, agents of k different types occupy the nodes of a network topology aiming to…
We consider a resource extraction problem which extends the classical de Finetti problem for a Wiener process to include the case when a competitor, who is equipped with the possibility to extract all the remaining resources in one piece,…
Two-vehicle racing is natural example of a competitive dynamic game. As with most dynamic games, there are many ways in which the underlying solution concept can be structured, resulting in different equilibrium concepts. The assumed…
In this paper, $2\times2$ zero-sum games are studied under the following assumptions: $(1)$ One of the players (the leader) commits to choose its actions by sampling a given probability measure (strategy); $(2)$ The leader announces its…
We study a class of nonzero-sum stochastic differential games between two teams with agents in each team interacting through graphon aggregates. On the one hand, in each large population group, agents act together to optimize a common…
We study the singular stochastic game, formulated in Awerkin and Vargiolu (Decis. Econ. Finance 44(2), 2021), between two agents aiming at maximizing their profits by installing photovoltaic panels and selling the produced electricity, net…
Due to the lack of coordination, it is unlikely that the selfish players of a strategic game reach a socially good state. A possible way to cope with selfishness is to compute a desired outcome (if it is tractable) and impose it. However…
We compute equilibrium strategies in multi-stage games with continuous signal and action spaces as they are widely used in the management sciences and economics. Examples include sequential sales via auctions, multi-stage elimination…
Probabilistic model checking for stochastic games enables formal verification of systems that comprise competing or collaborating entities operating in a stochastic environment. Despite good progress in the area, existing approaches focus…
We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…
We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
This paper analyzes a class of Stackelberg games where different actors compete for shared resources and a central authority tries to balance the demand through a pricing mechanism. Situations like this can for instance occur when fleet…
We consider the provision of public goods on networks of strategic agents. We study different effort outcomes of these network games, namely, the Nash equilibria, Pareto efficient effort profiles, and semi-cooperative equilibria (effort…
We present an agent-based simulator for economic systems with heterogeneous households, firms, central bank, and government agents. These agents interact to define production, consumption, and monetary flow. Each agent type has distinct…