Related papers: A two-player portfolio tracking game
Finite-horizon probabilistic multiagent concurrent game systems, also known as finite multiplayer stochastic games, are a well-studied model in computer science due to their ability to represent a wide range of real-world scenarios…
We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies…
We study the problem of computing an approximate Nash equilibrium of a game whose strategy space is continuous without access to gradients of the utility function. Such games arise, for example, when players' strategies are represented by…
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…
In this paper, we study the problem of multiple stochastic agents interacting in a dynamic game scenario with continuous state and action spaces. We define a new notion of stochastic Nash equilibrium for boundedly rational agents, which we…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
We consider in discrete time, a general class of sequential stochastic dynamic games with asymmetric information with the following features. The underlying system has Markovian dynamics controlled by the agents' joint actions. Each agent's…
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
Surveillance-Evasion (SE) games form an important class of adversarial trajectory-planning problems. We consider time-dependent SE games, in which an Evader is trying to reach its target while minimizing the cumulative exposure to a moving…
We present a novel, game theoretic representation of a multi-agent prediction market using a partially observable stochastic game with information (POSGI). We then describe a correlated equilibrium (CE)-based solution strategy for this game…
We consider the interaction among agents engaging in a driving task and we model it as general-sum game. This class of games exhibits a plurality of different equilibria posing the issue of equilibrium selection. While selecting the most…
To be successful in multi-player drone racing, a player must not only follow the race track in an optimal way, but also compete with other drones through strategic blocking, faking, and opportunistic passing while avoiding collisions. Since…
We study a class of games which model the competition among agents to access some service provided by distributed service units and which exhibit congestion and frustration phenomena when service units have limited capacity. We propose a…
In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to…
We consider finite-state concurrent stochastic games, played by k>=2 players for an infinite number of rounds, where in every round, each player simultaneously and independently of the other players chooses an action, whereafter the…
In this paper we study a continuous time equilibrium model of limit order book (LOB) in which the liquidity dynamics follows a non-local, reflected mean-field stochastic differential equation (SDE) with evolving intensity. Generalizing the…
This paper develops a unified framework for testing monotonicity of Bayesian Nash equilibrium strategies in unobserved types in games of incomplete information. We show that, under symmetric independent private types, monotonicity of…
We discuss similarities and differences between systems of interacting players maximizing their individual payoffs and particles minimizing their interaction energy. Long-run behavior of stochastic dynamics of spatial games with multiple…
Many economic transactions, including those of online markets, have a time lag between the start and end times of transactions. Customers need to wait for completion of their transaction (order fulfillment) and hence are also interested in…