Related papers: Nonzero-sum risk-sensitive continuous-time stochas…

This paper considers a class of reinforcement-learning that belongs to the family of Learning Automata and provides a stochastic-stability analysis in strategic-form games. For this class of dynamics, convergence to pure Nash equilibria has…

In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…

This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action, and benefits from the improvement of the condition of the overall population. Based on an…

The paper is concerned with a zero-sum continuous-time stochastic differential game with a dynamics controlled by a Markov process and a terminal payoff. The value function of the original game is estimated using the value function of a…

This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods…

In this paper we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games whose cost functionals are defined by a system of coupled backward stochastic differential equations. We obtain an existence…

We study zero-sum stochastic differential games with player dynamics governed by a nondegenerate controlled diffusion process. Under the assumption of uniform stability, we establish the existence of a solution to the Isaac's equation for…

Zero-sum Markov Stackelberg games can be used to model myriad problems, in domains ranging from economics to human robot interaction. In this paper, we develop policy gradient methods that solve these games in continuous state and action…

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…

We consider two classes of constrained finite state-action stochastic games. First, we consider a two player nonzero sum single controller constrained stochastic game with both average and discounted cost criterion. We consider the same…

We consider a general nonzero-sum impulse game with two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, a suitable system of quasi-variational inequalities…

This paper studies a class of stationary mean-field games of singular stochastic control with regime-switching. The representative agent adjusts the dynamics of a Markov-modulated It\^o-diffusion via a two-sided singular stochastic control…

The works of (Daskalakis et al., 2009, 2022; Jin et al., 2022; Deng et al., 2023) indicate that computing Nash equilibria in multi-player Markov games is a computationally hard task. This fact raises the question of whether or not…

For a Markov decision process with countably infinite states, the optimal value may not be achievable in the set of stationary policies. In this paper, we study the existence conditions of an optimal stationary policy in a countable-state…

We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players. This model characterizes the time-consistent dynamic "risk" from both stochastic state transitions (inherent to the…

The mathematical characterization of social-distancing games in classical epidemic theory remains an important question, for their applications to both infectious-disease theory and memetic theory. We consider a special case of the dynamic…

We analyse the computational complexity of finding Nash equilibria in stochastic multiplayer games with $\omega$-regular objectives. While the existence of an equilibrium whose payoff falls into a certain interval may be undecidable, we…

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…

Mean field games (MFGs) model equilibria in games with a continuum of weakly interacting players as limiting systems of symmetric $n$-player games. We consider the finite-state, infinite-horizon problem with ergodic cost. Assuming Markovian…

We study a new class of Markov games, \emph(multi-player) zero-sum Markov Games} with \emph{Networked separable interactions} (zero-sum NMGs), to model the local interaction structure in non-cooperative multi-agent sequential…