Related papers: Exit game with private information
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
We discuss stochastic dynamics of populations of individuals playing games. Our models possess two evolutionarily stable strategies: an efficient one, where a population is in a state with the maximal payoff (fitness) and a risk-dominant…
We propose a learning dynamics to model how strategic agents repeatedly play a continuous game while relying on an information platform to learn an unknown payoff-relevant parameter. In each time step, the platform updates a belief estimate…
An unknown positive number of items arrive at independent uniformly distributed times in the interval [0,1] to a selector, whose task is to pick online the last one. We show that under the assumption of an adversary determining the number…
Two-player zero-sum repeated games are well understood. Computing the value of such a game is straightforward. Additionally, if the payoffs are dependent on a random state of the game known to one, both, or neither of the players, the…
Using methods from the statistical mechanics of disordered systems we analyze the properties of bimatrix games with random payoffs in the limit where the number of pure strategies of each player tends to infinity. We analytically calculate…
An extensive literature in economics and social science addresses contests, in which players compete to outperform each other on some measurable criterion, often referred to as a player's score, or output. Players incur costs that are an…
We generalize the seminal framework of Kyle (1985) to a many-asset setting, bridging the gap between informed-trading theory and modern trading practices. Specifically, we formulate an infinite-dimensional Bayesian trading game in which the…
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 considers a formulation of a differential game with constrained dynamics, where one player selects the dynamics and the other selects the applicable cost. When the game is considered on a finite time horizon, its value satisfies…
This paper examines a trade execution game for two large traders in a generalized price impact model. We incorporate a stochastic and sequentially dependent factor that exogenously affects the market price into financial markets. Our model…
For non-Gaussian stochastic dynamical systems, mean exit time and escape probability are important deterministic quantities, which can be obtained from integro-differential (nonlocal) equations. We develop an efficient and convergent…
We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual solutions of some…
Effective enforcement of laws and policies requires expending resources to prevent and detect offenders, as well as appropriate punishment schemes to deter violators. In particular, enforcement of privacy laws and policies in modern…
Large parts of professional human communication proceed in a request-reply fashion, whereby requests contain specifics of the information desired while replies can deliver the required information. However, time limitations often force…
Bayesian regression games are a special class of two-player general-sum Bayesian games in which the learner is partially informed about the adversary's objective through a Bayesian prior. This formulation captures the uncertainty in regard…
We propose a toy model for a stochastic description of the competition between two athletes of unequal strength, whose average strength difference is represented by a parameter $d$. The athletes interact through the choice of their…
We construct an approximate public-signal correlated equilibrium for a nonzero-sum differential game in the class of stochastic strategies with memory. The construction is based on a solution of an auxiliary nonzero-sum continuous-time…
Network congestion games are a well-understood model of multi-agent strategic interactions. Despite their ubiquitous applications, it is not clear whether it is possible to design information structures to ameliorate the overall experience…
We study nonzero-sum stochastic switching games. Two players compete for market dominance through controlling (via timing options) the discrete-state market regime $M$. Switching decisions are driven by a continuous stochastic factor $X$…