Related papers: Nash implementation in a many-to-one matching mark…
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…
Nash equilibrium is used as a model to explain the observed behavior of players in strategic settings. For example, in many empirical applications we observe player behavior, and the problem is to determine if there exist payoffs for the…
We extend the study of learning in games to dynamics that exhibit non-asymptotic stability. We do so through the notion of uniform stability, which is concerned with equilibria of individually utility-seeking dynamics. Perhaps surprisingly,…
In this paper, we study the Nash dynamics of strategic interplays of n buyers in a matching market setup by a seller, the market maker. Taking the standard market equilibrium approach, upon receiving submitted bid vectors from the buyers,…
A growing body of literature in networked systems research relies on game theory and mechanism design to model and address the potential lack of cooperation between self-interested users. Most game-theoretic models applied to system…
We model a system of n asymmetric firms selling a homogeneous good in a common market through a pay-as-bid auction. Every producer chooses as its strategy a supply function returning the quantity S(p) that it is willing to sell at a minimum…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
Learning problems commonly exhibit an interesting feedback mechanism wherein the population data reacts to competing decision makers' actions. This paper formulates a new game theoretic framework for this phenomenon, called "multi-player…
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…
We study interactions with uncertainty about demand sensitivity. In our solution concept (1) firms choose seemingly-optimal strategies given the level of sophistication of their data analytics, and (2) the levels of sophistication form best…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
Due to the lack of coordination, it is unlikely that the selfish players of a strategic game reach a socially good state. A possible way to cope with selfishness is to compute a desired outcome (if it is tractable) and impose it. However…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
We study optimal equilibria in multi-player games. An equilibrium is optimal for a player, if her payoff is maximal. A tempting approach to solving this problem is to seek optimal Nash equilibria, the standard form of equilibria where no…
Many real-world systems are composed of interdependent networks that rely on one another. Such networks are typically designed and operated by different entities, who aim at maximizing their own payoffs. There exists a game among these…
Game theory provides a well-established framework for the analysis of concurrent and multi-agent systems. The basic idea is that concurrent processes (agents) can be understood as corresponding to players in a game; plays represent the…
We consider the relation between Sion's minimax theorem for a continuous function and a Nash equilibrium in a multi-players game with two groups which is zero-sum and symmetric in each group. We will show the following results. 1. The…
Nash equilibria provide a principled framework for modeling interactions in multi-agent decision-making and control. However, many equilibrium-seeking methods implicitly assume that each agent has access to the other agents' objectives and…
In a society of multiple individuals, if everybody is only interested in maximizing his own payoff, will there exist any equilibrium for the society? John Nash proved more than 50 years ago that an equilibrium always exists such that nobody…
We develop a general game-theoretic framework for reasoning about strategic agents performing possibly costly computation. In this framework, many traditional game-theoretic results (such as the existence of a Nash equilibrium) no longer…