Related papers: Mixed Leadership Stochastic Differential Game in F…
Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian. Then Nash equilibria…
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic…
We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…
Due to the ever-increasing popularity of ride-hailing services and the indisputable shift towards alternative fuel vehicles, the intersection of the ride-hailing market and smart electric mobility provides an opportunity to trade different…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…
This paper is concerned with an indefinite linear-quadratic mean field games of stochastic large-population system, where the individual diffusion coefficients can depend on both the state and the control of the agents. Moreover, the…
This paper considers a non-cooperative game in which competing users sharing a frequency-selective interference channel selfishly optimize their power allocation in order to improve their achievable rates. Previously, it was shown that a…
The multilevel reverse Stackelberg game is considered. In this game, the leader controls the outcome by announcing a strategy as a function of decision variables of the followers to his/her own decision space. Corresponding to the leader's…
Having fixed capacities, homogeneous products and price sensitive customer purchase decision are primary distinguishing characteristics of numerous revenue management systems. Even with two or three rivals, competition is still highly…
We propose a type of non-cooperative game, termed multi-cluster aggregative game, which is composed of clusters as players, where each cluster consists of collaborative agents with cost functions depending on their own decisions and the…
In this paper, a Nash-type fictitious game framework is introduced to handle a time-inconsistent linear-quadratic optimal control. The Nash-type game in this framework is called fictitious as it is between the decision maker (called real…
This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a new framework to prove convergence…
We study Nash equilibria learning of a general-sum stochastic game with an unknown transition probability density function. Agents take actions at the current environment state and their joint action influences the transition of the…
A new formulation of Stochastic Model Predictive Output Feedback Control is presented and analyzed as a translation of Stochastic Optimal Output Feedback Control into a receding horizon setting. This requires lifting the design into a…
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…
We study the problem of stochastic stability for evolutionary dynamics under the logit choice rule. We consider general classes of coordination games, symmetric or asymmetric, with an arbitrary number of strategies, which satisfies the…
In this paper, detectability is first put forward for discrete-time Markov jump linear systems with the Markov chain on a Borel space ($\Theta$, $\mathcal{B}(\Theta)$). Under the assumption that the unforced system is detectable, a…
We examine the tuning of cooperative behavior in repeated multi-agent games using an analytically tractable, continuous-time, nonlinear model of opinion dynamics. Each modeled agent updates its real-valued opinion about each available…
We study mean field games and corresponding $N$-player games in continuous time over a finite time horizon where the position of each agent belongs to a finite state space. As opposed to previous works on finite state mean field games, we…
We formulate for the first time the economic dispatch problem in an integrated electrical and gas distribution system as a game equilibrium problem between distributed prosumers. Specifically, by approximating the non-linear gas-flow…