Related papers: A two-player portfolio tracking game

We present a novel polynomial time approximation scheme for two-strategy anonymous games, in which the players' utility functions, although potentially different, do not differentiate among the identities of the other players. Our algorithm…

The study of repeated interactions between a learner and a utility-maximizing optimizer has yielded deep insights into the manipulability of learning algorithms. However, existing literature primarily focuses on independent, unlinked…

We propose fully-distributed algorithms for Nash equilibrium seeking in aggregative games over networks. We first consider the case where local constraints are present and we design an algorithm combining, for each agent, (i) the projected…

Of paramount importance in both ecological systems and economic policies are the problems of harvesting of natural resources. A paradigmatic situation where this question is raised is that of fishing strategies. Indeed, overfishing is a…

This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibria are introduced. Existence of an open-loop Nash equilibrium…

In this paper we study the nonzero-sum Dynkin game in continuous time which is a two player non-cooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we…

We study a game between two firms in which each provide a service based on machine learning. The firms are presented with the opportunity to purchase a new corpus of data, which will allow them to potentially improve the quality of their…

We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…

An extensive literature in economics and social science addresses contests, in which players compete to outperform each other on some measurable criterion, often referred to as a player's score, or output. Players incur costs that are an…

We consider a basic resource allocation game, where the players' strategy spaces are subsets of $R^m$ and cost/utility functions are parameterized by some common vector $u\in R^m$ and, otherwise, only depend on the own strategy choice. A…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

This paper studies an optimal investment-consumption problem for competitive agents with exponential or power utilities and a common finite time horizon. Each agent regards the average of habit formation and wealth from all peers as…

This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…

We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…

We study a mean field game in continuous time over a finite horizon, T, where the state of each agent is binary and where players base their strategic decisions on two, possibly competing, factors: the willingness to align with the majority…

We study two-player security games which can be viewed as sequences of nonzero-sum matrix games played by an Attacker and a Defender. The evolution of the game is based on a stochastic fictitious play process. Players do not have access to…

This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer…

We consider a continuous time stochastic dynamic game between a stopper (Player $1$, the \textit{owner} of an asset yielding an income) and a controller (Player $2$, the \textit{manager} of the asset), where the manager is either effective…

Static potential games are non-cooperative games which admit a fictitious function, also referred to as a potential function, such that the minimizers of this function constitute a subset (or a refinement) of the Nash equilibrium strategies…

We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…