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One prominent approach toward resolving the adversarial vulnerability of deep neural networks is the two-player zero-sum paradigm of adversarial training, in which predictors are trained against adversarially chosen perturbations of data.…

We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…

Deep Reinforcement Learning solutions have been applied to different control problems with outperforming and promising results. In this research work we have applied Proximal Policy Optimization, Soft Actor-Critic and Generative Adversarial…

In financial markets, agents often mutually influence each other's investment strategies and adjust their strategies to align with others. However, there is limited quantitative study of agents' investment strategies in such scenarios. In…

In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in…

This paper proposes the notion of robust PBE in a general competing mechanism game of incomplete information where a mechanism allows its designer to send a message to himself at the same time agents send messages. It identifies the utility…

We study a stochastic game framework with dynamic set of players, for modeling and analyzing their computational investment strategies in distributed computing. Players obtain a certain reward for solving the problem or for providing their…

This paper studies the competition among multiple fund managers with relative performance over the excess logarithmic return. Fund managers compete with each other and have expected utility or mean-variance criteria for excess logarithmic…

We consider infinite-state turn-based stochastic games of two players, Box and Diamond, who aim at maximizing and minimizing the expected total reward accumulated along a run, respectively. Since the total accumulated reward is unbounded,…

We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…

In recent work by Bramoull\'{e} and Kranton, a model for the provision of public goods on a network was presented and relations between equilibria of such a game and properties of the network were established. This model was further…

We analyse a coalition formation game between strategic service providers of a congestible service. The key novelty of our formulation is that it is a constant sum game, i.e., the total payoff across all service providers (or coalitions of…

We investigate newsvendor games whose payoff function is uncertain due to ambiguity in demand distributions. We discuss the concept of stability under uncertainty and introduce solution concepts for robust cooperative games which could be…

Financial network games model payment incentives in the context of networked liabilities. In this paper, we advance the understanding of incentives in financial networks in two important directions: minimal clearing (arising, e.g., as a…

We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…

Additively separable hedonic games and fractional hedonic games have received considerable attention. They are coalition forming games of selfish agents based on their mutual preferences. Most of the work in the literature characterizes the…

We study a robust contract design problem with deferred inspection, in which a principal allocates a scarce resource to an agent, observes the agent's realized outcome ex post at negligible cost, and conditions transfers on this information…

In this paper, we study the problem of the distributed Nash equilibrium seeking of N-player games over jointly strongly connected switching networks. The action of each player is governed by a class of uncertain nonlinear systems. Our…

We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the…

In this work we propose and develop modified quantum games (zero and non-zero sum) in which payoffs and strategies are entangled. For the games studied, Nash and Pareto equilibriums are always obtained indicating that there are some…