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This paper introduces an equilibrium framework based on sequential sampling in which players face strategic uncertainty over their opponents' behavior and acquire informative signals to resolve it. Sequential sampling equilibrium delivers a…
We consider multi-agent decision making, where each agent optimizes its cost function subject to constraints. Agents' actions belong to a compact convex Euclidean space and the agents' cost functions are coupled. We propose a distributed…
This paper models a two-agent economy with production and appropriation as a noncooperative dynamic game, and determines its closed-form Markovian Nash equilibrium. The analysis highlights the para-metric conditions that tip the economy…
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…
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 analyse the computational complexity of finding Nash equilibria in stochastic multiplayer games with $\omega$-regular objectives. While the existence of an equilibrium whose payoff falls into a certain interval may be undecidable, we…
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 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 $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…
The distributed computation of Nash equilibria is assuming growing relevance in engineering where such problems emerge in the context of distributed control. Accordingly, we present schemes for computing equilibria of two classes of static…
Several notions of game enjoy a Nash-like notion of equilibrium without guarantee of existence. There are different ways of weakening a definition of Nash-like equilibrium in order to guarantee the existence of a weakened equilibrium.…
We discuss similarities and differences between systems of interacting players maximizing their individual payoffs and particles minimizing their interaction energy. Long-run behavior of stochastic dynamics of spatial games with multiple…
We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank…
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents' strategic choices to a…
Motivated by the scarcity of accurate payoff feedback in practical applications of game theory, we examine a class of learning dynamics where players adjust their choices based on past payoff observations that are subject to noise and…
In this paper, the problem of finding a Nash equilibrium of a multi-player game is considered. The players are only aware of their own cost functions as well as the action space of all players. We develop a relatively fast algorithm within…
We consider multi-agent decision making where each agent optimizes its convex cost function subject to individual and coupling constraints. The constraint sets are compact convex subsets of a Euclidean space. To learn Nash equilibria, we…
We study a two-player nonzero-sum stochastic differential game where one player controls the state variable via additive impulses while the other player can stop the game at any time. The main goal of this work is characterize Nash…
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of $N$ banks is described by coupled diffusions driven by controls with delay in their drifts.…
We propose a novel method to find Nash equilibria in games with binary decision variables by including compensation payments and incentive-compatibility constraints from non-cooperative game theory directly into an optimization framework in…