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We develop provably efficient reinforcement learning algorithms for two-player zero-sum finite-horizon Markov games with simultaneous moves. To incorporate function approximation, we consider a family of Markov games where the reward…

Machine Learning · Computer Science 2020-06-25 Qiaomin Xie , Yudong Chen , Zhaoran Wang , Zhuoran Yang

We consider two-player stochastic games played on a finite state space for an infinite number of rounds. The games are concurrent: in each round, the two players (player 1 and player 2) choose their moves independently and simultaneously;…

Computer Science and Game Theory · Computer Science 2012-01-04 Krishnendu Chatterjee

In a zero-sum stochastic game with signals, at each stage, two adversary players take decisions and receive a stage payoff determined by these decisions and a variable called state. The state follows a Markov chain, that is controlled by…

Optimization and Control · Mathematics 2021-12-02 Bruno Ziliotto

This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent…

Optimization and Control · Mathematics 2019-09-26 Hongwei Mei , George Yin

A classic model to study strategic decision making in multi-agent systems is the normal-form game. This model can be generalised to allow for an infinite number of pure strategies leading to continuous games. Multi-objective normal-form…

Computer Science and Game Theory · Computer Science 2023-03-02 Willem Röpke , Carla Groenland , Roxana Rădulescu , Ann Nowé , Diederik M. Roijers

We consider reversible ergodic Markov chains with finite state space, and we introduce a new notion of quasi-stationary distribution that does not require the presence of any absorbing state. In our setting, the hitting time of the…

Probability · Mathematics 2024-10-01 Roberto Fernandez , Francesco Manzo , Matteo Quattropani , Elisabetta Scoppola

We show that the problem of deciding whether in a multi-player perfect information recursive game (i.e. a stochastic game with terminal rewards) there exists a stationary Nash equilibrium ensuring each player a certain payoff is Existential…

Computer Science and Game Theory · Computer Science 2020-08-19 Kristoffer Arnsfelt Hansen , Steffan Christ Sølvsten

We introduce a discrete-time search game, in which two players compete to find an object first. The object moves according to a time-varying Markov chain on finitely many states. The players know the Markov chain and the initial probability…

Computer Science and Game Theory · Computer Science 2020-08-28 Benoit Duvocelle , János Flesch , Mathias Staudigl , Dries Vermeulen

One of the proposed solutions to the equilibrium selection problem for agents learning in repeated games is obtained via the notion of stochastic stability. Learning algorithms are perturbed so that the Markov chain underlying the learning…

Computer Science and Game Theory · Computer Science 2012-07-09 John Wicks , Amy Greenwald

We study the problem of characterizing the expected hitting times for a robust generalization of continuous-time Markov chains. This generalization is based on the theory of imprecise probabilities, and the models with which we work…

Probability · Mathematics 2022-06-28 Thomas Krak

We introduce and study a two-player zero-sum game between a probabilist and Nature defined by a convex function $f$, a finite collection $\mathcal{B}$ of Markov generators (or its convex hull), and a target distribution $\pi$. The…

Probability · Mathematics 2025-09-11 Michael C. H. Choi , Geoffrey Wolfer

Stochastic games generalize Markov decision processes (MDPs) to a multiagent setting by allowing the state transitions to depend jointly on all player actions, and having rewards determined by multiplayer matrix games at each state. We…

Computer Science and Game Theory · Computer Science 2013-01-18 Michael Kearns , Yishay Mansour , Satinder Singh

Graph games are fundamental in strategic reasoning of multi-agent systems and their environments. We study a new family of graph games which combine stochastic environmental uncertainties and auction-based interactions among the agents,…

Computer Science and Game Theory · Computer Science 2024-12-30 Guy Avni , Martin Kurečka , Kaushik Mallik , Petr Novotný , Suman Sadhukhan

In this work we present a modified neural network model which is capable to simulate Markov Chains. We show how to express and train such a network, how to ensure given statistical properties reflected in the training data and we…

Machine Learning · Computer Science 2018-05-03 Maren Awiszus , Bodo Rosenhahn

Our research is closely related to ontological studies in mathematics. It provides crucial insights into the nature of decisions and strategies characterized by Markov moments. In a stopping game, a holistic decision-maker would evaluate…

Optimization and Control · Mathematics 2026-04-29 Georgy Sofronov , Joanna Rymaszewska , Krzysztof J. Szajowski

There is a well-established theory linking certain semi-Markov chains and continuous-time random walks to time-fractional equations and anomalous diffusion. In this work, we go beyond the semi-Markov framework by considering some…

Probability · Mathematics 2026-02-27 Lorenzo Facciaroni , Costantino Ricciuti , Enrico Scalas

The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic…

Probability · Mathematics 2017-01-24 Rene Carmona , Francois Delarue , Daniel Lacker

We are interested in the convergence of the value of n-stage games as n goes to infinity and the existence of the uniform value in stochastic games with a general set of states and finite sets of actions where the transition is commutative.…

Optimization and Control · Mathematics 2016-04-22 Xavier Venel

We consider two-player games played over finite state spaces for an infinite number of rounds. At each state, the players simultaneously choose moves; the moves determine a successor state. It is often advantageous for players to choose…

Logic in Computer Science · Computer Science 2015-07-01 Luca de Alfaro , Rupak Majumdar , Vishwanath Raman , Mariëlle Stoelinga

A recent paper by Bhatia, Chin, Mani, and Mossel (2026) defined stochastic processes aimed at modeling the game of War for {\em two players} with $n$ cards. That paper showed that these models, assuming uniform random decks, are equivalent…

Probability · Mathematics 2026-01-29 Axel Adjei , Neil Krishnan , Elchanan Mossel