Related papers: Nash equilibria for dividend distribution with com…
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest gets information…
We consider two-player normal form games where each player has the same finite strategy set. The payoffs of each player are assumed to be i.i.d. random variables with a continuous distribution. We show that, with high probability, the…
The game-theoretic risk management framework put forth in the precursor work "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) is herein extended by algorithmic details on how to…
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…
In this paper we deal with linear production situations in which there is a limited common-pool resource, managed by an external agent. The profit that a producer, or a group of producers, can attain depends on the amount of common-pool…
We consider finite two-player normal form games with random payoffs. Player A's payoffs are i.i.d. from a uniform distribution. Given p in [0, 1], for any action profile, player B's payoff coincides with player A's payoff with probability p…
In this study, we present models where participants strategically select their risk levels and earn corresponding rewards, mirroring real-world competition across various sectors. Our analysis starts with a normal form game involving two…
This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
A moment constraint that limits the number of dividends in the optimal dividend problem is suggested. This leads to a new type of time-inconsistent stochastic impulse control problem. First, the optimal solution in the precommitment sense…
We study a class of games which model the competition among agents to access some service provided by distributed service units and which exhibit congestion and frustration phenomena when service units have limited capacity. We propose a…
In a many-to-one matching market, we analyze the matching game induced by a stable rule when firms' choice function satisfy substitutability. We show that any stable rule implements the individually rational correspondence in Nash…
We use techniques from the statistical mechanics of disordered systems to analyse the properties of Nash equilibria of bimatrix games with large random payoff matrices. By means of an annealed bound, we calculate their number and analyse…
We characterize Nash equilibrium by postulating coherent behavior across varying games. Nash equilibrium is the only solution concept that satisfies the following axioms: (i) strictly dominant actions are played with positive probability,…
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…
Nash equilibria are defined using uncorrelated behavioural or mixed joint probability distributions effectively assuming that players of bounded rationality must discard information to locate equilibria. We propose instead that rational…
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 $X$…
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. The presence of ties…
In finite games mixed Nash equilibria always exist, but pure equilibria may fail to exist. To assess the relevance of this nonexistence, we consider games where the payoffs are drawn at random. In particular, we focus on games where a large…
We consider a tournament among four equally strong semifinalists. The players have to decide how much stamina to use in the semifinals, provided that the rest is available in the final and the third-place playoff. We investigate optimal…
People choose their strategies through a trial-and-error learning process in which they gradually discover that some strategies work better than others. The process can be modelled as an evolutionary game dynamics system, which may be…