Related papers: Stochastic Delay Differential Games: Financial Mod…
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…
This paper presents a pioneering investigation into discrete-time two-person non-zero-sum linear quadratic (LQ) stochastic games with random coefficients. We derive necessary and sufficient conditions for the existence of open-loop Nash…
In this letter, we study dynamic game optimal control with imperfect state observations and introduce an iterative method to find a local Nash equilibrium. The algorithm consists of an iterative procedure combining a backward recursion…
We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is…
This paper addresses the problem of distributed online generalized Nash equilibrium (GNE) learning for multi-cluster games with delayed feedback information. Specifically, each agent in the game is assumed to be informed a sequence of local…
This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion market. We derive constant Nash equilibria and provide…
We consider a subclass of $n$-player stochastic games, in which players have their own internal state/action spaces while they are coupled through their payoff functions. It is assumed that players' internal chains are driven by independent…
In this paper, we study the problem of learning the set of pure strategy Nash equilibria and the exact structure of a continuous-action graphical game with quadratic payoffs by observing a small set of perturbed equilibria. A…
This paper proposes a distributed algorithm to find the Nash equilibrium in a class of non-cooperative convex games with partial-decision information. Our method employs a distributed projected gradient play approach alongside consensus…
We consider a distributed stochastic approximation (SA) scheme for computing an equilibrium of a stochastic Nash game. Standard SA schemes employ diminishing steplength sequences that are square summable but not summable. Such requirements…
Nash equilibrium is a central concept in game theory. Several Nash solvers exist, yet none scale to normal-form games with many actions and many players, especially those with payoff tensors too big to be stored in memory. In this work, we…
Distributed Nash equilibrium (NE) seeking problem for multi-coalition games has attracted increasing attention in recent years, but the research mainly focuses on the case without agreement demand within coalitions. This paper considers a…
Probabilistic model checking for stochastic games enables formal verification of systems that comprise competing or collaborating entities operating in a stochastic environment. Despite good progress in the area, existing approaches focus…
We consider generalized Nash equilibrium problems (GNEPs) with linear coupling constraints affected by both local (i.e., agent-wise) and global (i.e., shared resources) disturbances taking values in polyhedral uncertainty sets. By making…
In this paper, we investigate a class of nonzero-sum dynamic stochastic games, where players have linear dynamics and quadratic cost functions. The players are coupled in both dynamics and cost through a linear regression (weighted average)…
Dynamic games are powerful tools to model multi-agent decision-making, yet computing Nash (generalized Nash) equilibria remains a central challenge in such settings. Complexity arises from tightly coupled optimality conditions, nested…
The paper addresses a problem of sequential bilateral bargaining with incomplete information. We proposed a decision model that helps agents to successfully bargain by performing indirect negotiation and learning the opponent's model.…
In this paper, we study the distributed generalized Nash equilibrium seeking problem of non-cooperative games in dynamic environments. Each player in the game aims to minimize its own time-varying cost function subject to a local action…
We consider quadratic, nonmonotone generalized Nash equilibrium problems with symmetric interactions among the agents. Albeit this class of games is known to admit a potential function, its formal expression can be unavailable in several…
Static potential games are non-cooperative games which admit a fictitious function, also referred to as a potential function, such that the minimizers of this function constitute a subset (or a refinement) of the Nash equilibrium strategies…