Related papers: What does a dynamic oligopoly maximize? The contin…

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

Many non-trivial sequential decision-making problems are efficiently solved by relying on Bellman's optimality principle, i.e., exploiting the fact that sub-problems are nested recursively within the original problem. Here we show how it…

In this paper we present a novel generic mapping between Graphical Games and Markov Random Fields so that pure Nash equilibria in the former can be found by statistical inference on the latter. Thus, the problem of deciding whether a…

This paper is devoted to studying constrained continuous-time Markov decision processes (MDPs) in the class of randomized policies depending on state histories. The transition rates may be unbounded, the reward and costs are admitted to be…

We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results {to three canonical models in…

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 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…

In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…

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…

In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…

We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case,…

We consider the basic problem of approximating Nash equilibria in noncooperative games. For monotone games, we design continuous time flows which converge in an averaged sense to Nash equilibria. We also study mean field equilibria, which…

This paper proposes a novel approach for locally stable convergence to Nash equilibrium in duopoly noncooperative games based on a distributed event-triggered control scheme. The proposed approach employs extremum seeking, with sinusoidal…

We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…

Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty. In incomplete markets, an appealing approach is to analyze…

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 analyze the distributed power allocation problem in parallel multiple access channels (MAC) by studying an associated non-cooperative game which admits an exact potential. Even though games of this type have been the subject of…

We address Nash equilibrium problems in a partial-decision information scenario, where each agent can only exchange information with some neighbors, while its cost function possibly depends on the strategies of all agents. We characterize…

In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…

This paper studies the finite-time horizon Markov games where the agents' dynamics are decoupled but the rewards can possibly be coupled across agents. The policy class is restricted to local policies where agents make decisions using their…