Related papers: A Robust Efficient Dynamic Mechanism

Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…

Game Theory has been frequently applied in biological research since 1970s. While the key idea of Game Theory is Nash Equilibrium, it is critical to understand and figure out the payoff matrix in order to calculate Nash Equilibrium. In this…

We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…

In this work we investigate the inefficiency of the electricity system with strategic agents. Specifically, we prove that without a proper control the total demand of an inefficient system is at most twice the total demand of the optimal…

A strategy profile in a multi-player game is a Nash equilibrium if no player can unilaterally deviate to achieve a strictly better payoff. A profile is an $\epsilon$-Nash equilibrium if no player can gain more than $\epsilon$ by…

We introduce a framework for the control of discrete-time switched stochastic systems with uncertain distributions. In particular, we consider stochastic dynamics with additive noise whose distribution lies in an ambiguity set of…

In this paper, we study Nash equilibrium payoffs for nonzero-sum stochastic differential games via the theory of backward stochastic differential equations. We obtain an existence theorem and a characterization theorem of Nash equilibrium…

Consider a two-player zero-sum stochastic game where the transition function can be embedded in a given feature space. We propose a two-player Q-learning algorithm for approximating the Nash equilibrium strategy via sampling. The algorithm…

We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse…

Social utility maximization refers to the process of allocating resources in such a way that the sum of agents' utilities is maximized under the system constraints. Such allocation arises in several problems in the general area of…

This paper considers the problem of inverse reinforcement learning in zero-sum stochastic games when expert demonstrations are known to be not optimal. Compared to previous works that decouple agents in the game by assuming optimality in…

This paper considers the problem of Nash equilibrium (NE) seeking in aggregative games, where the payoff function of each player depends on an aggregate of all players' actions. We present a distributed continuous time algorithm such that…

We study Bayesian automated mechanism design in unstructured dynamic environments, where a principal repeatedly interacts with an agent, and takes actions based on the strategic agent's report of the current state of the world. Both the…

Frequent violations of fair principles in real-life settings raise the fundamental question of whether such principles can guarantee the existence of a self-enforcing equilibrium in a free economy. We show that elementary principles of…

We study the plausibility of sub-optimal Nash equilibria of the direct revelation mechanism associated with a strategy-proof social choice function. By using the recently introduced empirical equilibrium analysis (Velez and Brown, 2019,…

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…

Solution methods for generalized Nash equilibrium have been dominated by variational inequalities and complementarity problems. Since these approaches fundamentally rely on the sufficiency of first-order optimality conditions for the…

We explore the use of policy approximations to reduce the computational cost of learning Nash equilibria in zero-sum stochastic games. We propose a new Q-learning type algorithm that uses a sequence of entropy-regularized soft policies to…

We propose a new dynamics for equilibrium selection of finite player discrete strategy games. The dynamics is motivated by optimal transportation, and models individual players' myopicity, greedy and uncertainty when making decisions. The…

We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of $N$ banks is described by coupled diffusions driven by controls with delay in their drifts.…