Related papers: A two-player portfolio tracking game

In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard…

We consider a model of nomadic agents exploring and competing for time-varying location-specific resources, arising in crowdsourced transportation services, online communities, and in traditional location based economic activity. This model…

In many multi-agent systems, agents interact repeatedly and are expected to settle into stable, rational behavior over time. Yet in practice, behavior often drifts, and detecting such deviations in real time remains an open challenge. We…

We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…

In this paper, we study which data can be induced by a correlated equilibrium given a known finite simultaneous move game. We assume that an analyst has access to the frequency of each agent's actions but does not have access to the…

Successful algorithms have been developed for computing Nash equilibrium in a variety of finite game classes. However, solving continuous games -- in which the pure strategy space is (potentially uncountably) infinite -- is far more…

Synthesis of finite-state controllers from high-level specifications in multi-agent systems can be reduced to solving multi-player concurrent games over finite graphs. The complexity of solving such games with qualitative objectives for…

We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities…

We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, $N$ agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off…

This paper considers two investors who perform mean-variance portfolio selection with asymmetric information: one knows the true stock dynamics, while the other has to infer the true dynamics from observed stock evolution. Their portfolio…

This paper studies a system security problem in the context of observability based on a two-person noncooperative infinitely repeated game. Both the attacker and the defender have means to modify the dimension of the unobservable subspace,…

Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…

We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact model with exponentially decaying price impact and quadratic…

Sequential allocation is a simple mechanism for sharing multiple indivisible items. We study strategic behavior in sequential allocation. In particular, we consider Nash dynamics, as well as the computation and Pareto optimality of pure…

Autonomous racing extends beyond the challenge of controlling a racecar at its physical limits. Professional racers employ strategic maneuvers to outwit other competing opponents to secure victory. While modern control algorithms can…

We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…

This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…

We consider an attacker-operator game for monitoring a large-scale network that is comprised on components that differ in their criticality levels. In this zero-sum game, the operator seeks to position a limited number of sensors to monitor…

We introduce a new formulation of asset trading games in continuous time in the framework of the game-theoretic probability established by Shafer and Vovk (Probability and Finance: It's Only a Game! (2001) Wiley). In our formulation, the…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…