Related papers: Exit game with private information
Stochastic games combine controllable and adversarial non-determinism with stochastic behavior and are a common tool in control, verification and synthesis of reactive systems facing uncertainty. Multi-objective stochastic games are natural…
We consider games in which players search for a hidden prize, and they have asymmetric information about the prize location. We study the social payoff in equilibria of these games. We present sufficient conditions for the existence of an…
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…
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
Leadership games provide a powerful paradigm to model many real-world settings. Most literature focuses on games with a single follower who acts optimistically, breaking ties in favour of the leader. Unfortunately, for real-world…
We introduce a class of extensive form games where players might not be able to foresee the possible consequences of their decisions and form a model of their opponents which they exploit to achieve a more profitable outcome. We improve…
This paper deals with a standard stochastic game model with a continuum of states under the duel-type setup. It newly proposes a hybrid model of game theory and the fluctuation process, which could be applied for various practical decision…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
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…
We analyse the strategy equilibrium of dilemma games considering a payoff matrix affected by small and random perturbations on the off-diagonal. Notably, a recent work [1] reported that, while cooperation is sustained by perturbations…
Stochastic games combine controllable and adversarial non-determinism with stochastic behavior and are a common tool in control, verification and synthesis of reactive systems facing uncertainty. Multi-objective stochastic games are natural…
In this paper, we consider a discrete-time stochastic Stackelberg game with a single leader and multiple followers. Both the followers and the leader together have conditionally independent private types, conditioned on action and previous…
We study a strategic experimentation game with exponential bandits, in which experiment outcomes are private. The equilibrium amount of experimentation is always higher than in the benchmark case where experiment outcomes are publicly…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
Pursuit-Evasion Games (in discrete time) are stochastic games with nonnegative daily payoffs, with the final payoff being the cumulative sum of payoffs during the game. We show that such games admit a value even in the presence of…
A general model for zero-sum stochastic games with asymmetric information is considered. In this model, each player's information at each time can be divided into a common information part and a private information part. Under certain…
We study a generic family of two-player continuous-time nonzero-sum stopping games modeling a war of attrition with symmetric information and stochastic payoffs that depend on an homogeneous linear diffusion. We first show that any…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…
This paper studies the equilibrium properties of the ``obvious strategy profile'' in large finite-player games. Each player in such a strategy profile simply adopts a randomized strategy as she would have used in a symmetric equilibrium of…