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We study the interaction between a network designer and an adversary over a dynamical network. The network consists of nodes performing continuous-time distributed averaging. The adversary strategically disconnects a set of links to prevent…

We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilitates the exchange of insurance is a market clearing…

This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be…

We construct several definitions of imbalance and playability, both of which are related to the existence of dominated strategies. Specifically, a maximally balanced game and a playable game cannot have dominated strategies for any player.…

This paper investigates the two-person zero-sum stochastic games for piece-wise deterministic Markov decision processes with risk-sensitive finite-horizon cost criterion on a general state space. Here, the transition and cost/reward rates…

In this paper we formulate the fixed budget resource allocation game to understand the performance of a distributed market-based resource allocation system. Multiple users decide how to distribute their budget (bids) among multiple machines…

The classical, complete-information two-player games assume that the problem data (in particular the payoff matrix) is known exactly by both players. In a now famous result, Nash has shown that any such game has an equilibrium in mixed…

This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…

Richman games are zero-sum games, where in each turn players bid in order to determine who will play next [Lazarus et al.'99]. We extend the theory to impartial general-sum two player games called \emph{bidding games}, showing the existence…

This paper provides sufficient conditions for the existence of solutions for two-person zero-sum games with inf/sup-compact payoff functions and with possibly noncompact decision sets for both players. Payoff functions may be unbounded, and…

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…

We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player…

We study the robust Nash equilibrium (RNE) for a class of games in communications systems and networks where the impact of users on each other is an additive function of their strategies. Each user measures this impact, which may be…

This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…

The semigroup game is a two-person zero-sum game defined on a semigroup S as follows: Players 1 and 2 choose elements x and y in S, respectively, and player 1 receives a payoff f(xy) defined by a function f from S to [-1,1]. If the…

A retiree's appetite for risk is a common input into the lifetime utility models that are traditionally used to find optimal strategies for the decumulation of retirement savings. In this work, we consider a retiree with potentially…

We study a decentralized matching market in which firms sequentially make offers to potential workers. For each offer, the worker can choose "accept" or "reject," but the decision is irrevocable. The acceptance of an offer guarantees her…

This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…

Agents rarely act in isolation -- their behavioral history, in particular, is public to others. We seek a non-asymptotic understanding of how a leader agent should shape this history to its maximal advantage, knowing that follower agent(s)…

This paper studies multi-user communication systems with two groups of users: leaders which possess system information, and followers which have no system information using the formulation of Stackelberg games. In such games, the leaders…