Related papers: Non-zero-sum optimal stopping game with continuous…

A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…

We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time the investor performs an injection, the investor incurs 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…

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…

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 show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.…

We formulate and study a two-player static duel game as a nonzero-sum discounted stochastic game. Players $P_{1},P_{2}$ are standing in place and, in each turn, one or both may shoot at the other player. If $P_{n}$ shoots at $P_{m}$ ($m\neq…

We consider discrete time partially observable zero-sum stochastic game with average payoff criterion. We study the game using an equivalent completely observable game. We show that the game has a value and also we come up with a pair of…

We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…

This paper considers a two-player game where each player chooses a resource from a finite collection of options. Each resource brings a random reward. Both players have statistical information regarding the rewards of each resource.…

This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The…

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…

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…

We study a finite-horizon two-person zero-sum risk-sensitive stochastic game for continuous-time Markov chains and Borel state and action spaces, in which payoff rates, transition rates and terminal reward functions are allowed to be…

In this paper, we consider a novel $M$-ary sequential hypothesis testing problem in which an adversary is present and perturbs the distributions of the samples before the decision maker observes them. This problem is formulated as a…

We consider a 3-player game in the normal form, in which each player has two actions. We assume that the game is symmetric and repeated infinitely many times. At each stage players make their choices knowing only the average payoffs from…

We consider zero sum stochastic games. For every discount factor $\lambda$, a time normalization allows to represent the game as being played on the interval [0, 1]. We introduce the trajectories of cumulated expected payoff and of…

This short note demonstrates how one can define a transformation of a non-zero sum game into a zero sum, so that the optimal mixed strategy achieving equilibrium always exists. The transformation is equivalent to introduction of a passive…

We study zero-sum repeated games where the minimizing player has to pay a certain cost each time he changes his action. Our contribution is twofold. First, we show that the value of the game exists in stationary strategies, depending solely…

In this paper we consider non zero-sum games where multiple players control the drift of a process, and their payoffs depend on its ergodic behaviour. We establish their connection with systems of Ergodic BSDEs, and prove the existence of a…