Related papers: Nonzero-sum risk-sensitive continuous-time stochas…
Computing the Nash equilibrium (NE) for N-player non-zerosum stochastic games is a formidable challenge. Currently, algorithmic methods in stochastic game theory are unable to compute NE for stochastic games (SGs) for settings in all but…
In this paper we investigate two-player zero-sum stochastic differential games with an ergodic payoff, in which the diffusion coefficient does not need to be non-degenerate. We first establish the existence of a viscosity solution to the…
Stochastic games are a convenient formalism for modelling systems that comprise rational agents competing or collaborating within uncertain environments. Probabilistic model checking techniques for this class of models allow us to formally…
In this paper, detectability is first put forward for discrete-time Markov jump linear systems with the Markov chain on a Borel space ($\Theta$, $\mathcal{B}(\Theta)$). Under the assumption that the unforced system is detectable, a…
In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…
This paper investigates online stochastic aggregative games subject to local set constraints and time-varying coupled inequality constraints, where each player possesses a time-varying expectation-valued cost function relying on not only…
We study a two-player zero-sum stochastic differential game with asymmetric information where the payoff depends on a controlled continuous-time Markov chain X with finite state space which is only observed by player 1. This model was…
We study the complexity of computing stationary Nash equilibrium (NE) in n-player infinite-horizon general-sum stochastic games. We focus on the problem of computing NE in such stochastic games when each player is restricted to choosing a…
In this paper, an open-loop two-person non-zero sum stochastic differential game is considered for forward-backward stochastic systems. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional…
We consider time-homogeneous uniformly nondegenerate stochastic differential games in domains and propose constructing $\varepsilon$-optimal strategies and policies by using adjoint Markov strategies and adjoint Markov policies which are…
We prove that differential Nash equilibria are generic amongst local Nash equilibria in continuous zero-sum games. That is, there exists an open-dense subset of zero-sum games for which local Nash equilibria are non-degenerate differential…
A growing line of work reframes preference-based fine-tuning of large language models game-theoretically: Nash Learning from Human Feedback (NLHF) recasts the problem as a zero-sum game over policies. However, optimization is over expected…
We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on controls in $L^2$. We propose a novel approach for deriving the…
Semi-Markov model is one of the most general models for stochastic dynamic systems. This paper deals with a two-person zero-sum game for semi-Markov processes. We focus on the expected discounted payoff criterion with state-action-dependent…
We introduce a novel class of Nash equilibrium seeking dynamics for non-cooperative games with a finite number of players, where the convergence to the Nash equilibrium is bounded by a KL function with a settling time that can be upper…
We consider a non-atomic congestion game where each decision maker performs selfish optimization over states of a common MDP. The decision makers optimize for their own expected costs, and influence each other through congestion effects on…
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…
In this paper we study the N-player nonzero-sum Dynkin game ($N\geq 3$) in continuous time, which is a non-cooperative game where the strategies are stopping times. We show that the game has a Nash equilibrium point for general payoff…
Motivated by the scarcity of accurate payoff feedback in practical applications of game theory, we examine a class of learning dynamics where players adjust their choices based on past payoff observations that are subject to noise and…
We study the problem of finding equilibrium strategies in multi-agent games with incomplete payoff information, where the payoff matrices are only known to the players up to some bounded uncertainty sets. In such games, an ex-post…