Related papers: A two-player portfolio tracking game

We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the…

In multi-agent autonomous systems, deception is a fundamental concept which characterizes the exploitation of unbalanced information to mislead victims into choosing oblivious actions. This effectively alters the system's long term…

We introduce a game model called "customer attraction game" to demonstrate the competition among online content providers. In this model, customers exhibit interest in various topics. Each content provider selects one topic and benefits…

In this paper, we consider a linear quadratic stochastic two-person nonzero-sum differential game. Open-loop and closed-loop Nash equilibria are introduced. The existence of the former is characterized by the solvability of a system of…

Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…

This paper addresses a class of network games played by dynamic agents using their outputs. Unlike most existing related works, the Nash equilibrium in this work is defined by functions of agent outputs instead of full agent states, which…

We propose a new dynamics for equilibrium selection of finite player discrete strategy games. The dynamics is motivated by optimal transportation, and models individual players' myopicity, greedy and uncertainty when making decisions. The…

We study a model of competition among nomadic agents for time-varying and location-specific resources, arising in crowd-sourced transportation services, online communities, and traditional location-based economic activity. This model…

Game theory provides a well-established framework for the analysis of concurrent and multi-agent systems. The basic idea is that concurrent processes (agents) can be understood as corresponding to players in a game; plays represent the…

We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…

In large-scale games, approximating the opponent's strategy space with a small portfolio of representative strategies is a common and powerful technique. However, the construction of these portfolios often relies on domain-specific…

This paper studies a variant of the contest model introduced in Seel and Strack [J. Econom. Theory 148 (2013) 2033-2048]. In the Seel-Strack contest, each agent or contestant privately observes a Brownian motion, absorbed at zero, and…

We consider an augmented version of Merton's portfolio choice problem, where trading by large investors influences the price of underlying financial asset leading to strategic interaction among investors, with investors deciding their…

We consider a class of N-player stochastic games of multi-dimensional singular control, in which each player faces a minimization problem of monotone-follower type with submodular costs. We call these games "monotone-follower games". In a…

In many settings where multiple agents interact, the optimal choices for each agent depend heavily on the choices of the others. These coupled interactions are well-described by a general-sum differential game, in which players have…

We propose a toy model for a stochastic description of the competition between two athletes of unequal strength, whose average strength difference is represented by a parameter $d$. The athletes interact through the choice of their…

We consider a controlled linear-quadratic (LQ) large-population system with mixture of three types agents: major leader, minor leaders and minor followers. The Stackelberg-Nash-Cournot (SNC) approximate equilibrium is studied by a…

We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determined by their relative wealth compared to the average wealth…

In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…

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…