Related papers: Equilibrium master equations for time-inconsistent…
We study a multi-agent decision problem in population games, where agents select from multiple available strategies and continually revise their selections based on the payoffs associated with these strategies. Unlike conventional…
We present a novel data-driven distributionally robust Model Predictive Control formulation for unknown discrete-time linear time-invariant systems affected by unknown and possibly unbounded additive uncertainties. We use off-line collected…
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the conventional issue, both the classical dynamic programming…
We study an agent's lifecycle portfolio choice problem with stochastic labor income, borrowing constraints and a finite retirement date. Similarly to arXiv:2002.00201, wages evolve in a path-dependent way, but the presence of a finite…
We study incentive design when multiple principals simultaneously design mechanisms for their respective teams in environments with strategic spillovers. In this environment, each principal's set of incentive-compatible mechanisms--those…
We derive a Markovian master equation that models the evolution of systems subject to driving and control fields. Our approach combines time rescaling and weak-coupling limits for the system-environment interaction with a secular…
This paper proposes a distributed algorithm to find the Nash equilibrium in a class of non-cooperative convex games with partial-decision information. Our method employs a distributed projected gradient play approach alongside consensus…
A Dynkin game is considered for stochastic differential equations with random coefficients. We first apply Qiu and Tang's maximum principle for backward stochastic partial differential equations to generalize Krylov estimate for the…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
In his lectures at College de France, P.L. Lions introduced the concept of Master equation, see [5] for Mean Field Games. It is introduced in a heuristic fashion, from the system of partial differential equations, associated to a Nash…
In this tutorial, we provide an introduction to machine learning methods for finding Nash equilibria in games with large number of agents. These types of problems are important for the operations research community because of their…
In this paper, we solve the time inconsistent portfolio selection problem by using different utility functions with a moving target as our constraint. We solve this problem by finding an equilibrium control under the given definition as our…
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an…
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
The Stackelberg game model, where a leader commits to a strategy and the follower best responds, has found widespread application, particularly to security problems. In the security setting, the goal is for the leader to compute an optimal…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
This paper presents a novel way to approximate a distribution governing a system of coupled particles with a product of independent distributions. The approach is an extension of mean field theory that allows the independent distributions…