Related papers: A controller-stopper-game with hidden controller t…

We consider a class of hierarchical noncooperative $N$-player games where the $i$th player solves a parametrized stochastic mathematical program with equilibrium constraints (MPEC) with the caveat that the implicit form of the $i$th…

We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…

In this paper we investigate Nash equilibrium payoffs for two-player nonzero-sum stochastic differential games whose cost functionals are defined by a system of coupled backward stochastic differential equations. We obtain an existence…

We study a game of resource extraction of a common good under one-dimensional diffusive dynamics with player actions corresponding to singular stochastic control up to absorption at $0$, implying a trade-off between profitable resource…

We study a dynamic stopping game between a principal and an agent. The agent is privately informed about his type. The principal learns about the agent's type from a noisy performance measure, which can be manipulated by the agent via a…

In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…

We discuss stochastic dynamics of finite populations of individuals playing games. We review recent results concerning the dependence of the long-run behavior of such systems on the number of players and the noise level. In the case of…

In this paper, we study a subclass of n-player stochastic games, in which each player has their own internal state controlled only by their own action and their objective is a common goal called team variance which measures the total…

This article introduces a class of $Nash$ games among $Stackelberg$ players ($NASPs$), namely, a class of simultaneous non-cooperative games where the players solve sequential Stackelberg games. Specifically, each player solves a…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

This paper analyses two-player nonzero-sum games of optimal stopping on a class of linear regular diffusions with not non-singular boundary behaviour (in the sense of It\^o and McKean (1974), p.\ 108). We provide sufficient conditions under…

Algorithms and models based on game theory have nowadays become prominent techniques for the design of digital controllers for critical systems. Indeed, such techniques enable automatic synthesis: given a model of the environment and a…

A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion…

We study a mathematical model for revenue management under competition with multiple sellers. The model combines the stochastic knapsack problem, a classic revenue management model, with a non coorperative game model that characterizes the…

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…

This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium…

In this paper, we introduce malicious Bayesian congestion games as an extension to congestion games where players might act in a malicious way. In such a game each player has two types. Either the player is a rational player seeking to…

Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…

We analyse the computational complexity of finding Nash equilibria in turn-based stochastic multiplayer games with omega-regular objectives. We show that restricting the search space to equilibria whose payoffs fall into a certain interval…

This paper studies a class of zero-sum stopping game in a regime switching model. A verification theorem as a sufficient criterion for Nash equilibriums is established based on a set of variational inequalities (VIs). Under an appropriate…