Related papers: Robust equilibrium strategies in a defined benefit…
A robust game is a distribution-free model to handle ambiguity generated by a bounded set of possible realizations of the values of players' payoff functions. The players are worst-case optimizers and a solution, called robust-optimization…
We study strategic interaction in data-driven games where players face uncertainty about payoff distributions inferred from finite samples. To model calibrated attitudes toward such uncertainty, we formulate distributionally robust games…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
This paper investigates a hybrid stochastic differential reinsurance and investment game between one reinsurer and two insurers, including a stochastic Stackelberg differential subgame and a non-zero-sum stochastic differential subgame. The…
In many multiagent settings, such as electric vehicle charging and traffic routing, agents must make decisions in the face of uncertain behavior exhibited by others. Often, this uncertainty arises from multiple sources, such as incomplete…
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow the geometric Brownian motion while the…
In this paper, we study a non-zero-sum game with two players, where each of the players plays what we call Bermudan strategies and optimizes a general non-linear assessment functional of the pay-off. By using a recursive construction, we…
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a financial market consisting of a risk-free asset and a risky…
In economic settings such as learning, social behavior, and financial contagion, agents interact through interdependent networks. This paper examines how a decision maker (DM) can design an optimal intervention strategy under network…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insurer is concerned with relative performance under the…
This work studies equilibrium problems under uncertainty where firms maximize their profits in a robust way when selling their output. Robust optimization plays an increasingly important role when best guaranteed objective values are to be…
We study equilibrium concepts in non-cooperative games under uncertainty where both beliefs and mixed strategies are represented by non-additive measures (capacities). In contrast to the classical Nash framework based on additive…
We define a class of zero-sum games with combinatorial structure, where the best response problem of one player is to maximize a submodular function. For example, this class includes security games played on networks, as well as the problem…
A decision maker (DM) has some funds invested through two investment firms. She wishes to allocate additional funds according to the firms' earnings. The DM, on the one hand, tries to maximize the total expected earnings, while the firms,…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a necessary maximum principle and sufficient…
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (AAIs) are characterized by drifted Brownian motion with both…