Related papers: A two-player portfolio tracking game
We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…
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…
We provide an in-depth study of Nash equilibria in multi-objective normal form games (MONFGs), i.e., normal form games with vectorial payoffs. Taking a utility-based approach, we assume that each player's utility can be modelled with a…
We study a generic family of two-player continuous-time nonzero-sum stopping games modeling a war of attrition with symmetric information and stochastic payoffs that depend on an homogeneous linear diffusion. We first show that any…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
Although dynamic games provide a rich paradigm for modeling agents' interactions, solving these games for real-world applications is often challenging. Many real-world interactive settings involve general nonlinear state and input…
Game-theoretic techniques and equilibria analysis facilitate the design and verification of competitive systems. While algorithmic complexity of equilibria computation has been extensively studied, practical implementation and application…
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…
A double auction game with an infinite number of buyers and sellers is introduced. All sellers posses one unit of a good, all buyers desire to buy one unit. Each seller and each buyer has a private valuation of the good. The distribution of…
In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact…
We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…
We introduce an atomic congestion game with two types of agents, cars and trucks, to model the traffic flow on a road over various time intervals of the day. Cars maximize their utility by finding a trade-off between the time they choose to…
We study a recommendation system where sellers compete for visibility by strategically offering commissions to a platform that optimally curates a ranked menu of items and their respective prices for each customer. Customers interact…
A two-player finite horizon linear-quadratic Stackelberg differential game is considered. The feature of this game is that the control cost of a follower in the cost functionals of both players is small, which means that the game under…
We propose a new variant of the strategic classification problem: a principal reveals a classifier, and $n$ agents report their (possibly manipulated) features to be classified. Motivated by real-world applications, our model crucially…
We study how to synthesize a robust and safe policy for autonomous systems under signal temporal logic (STL) tasks in adversarial settings against unknown dynamic agents. To ensure the worst-case STL satisfaction, we propose STLGame, a…
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest gets information…
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…
We present an efficient algorithm to compute the explicit open-loop solution to both finite and infinite-horizon dynamic games subject to state and input constraints. Our approach relies on a multiparametric affine variational inequality…
We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen (2016). In the large-liquidity limit where both frictions are small, we derive explicit formulas for the…