Related papers: Nonzero-sum Discrete-time Stochastic Games with Ri…
We study a stochastic game framework with dynamic set of players, for modeling and analyzing their computational investment strategies in distributed computing. Players obtain a certain reward for solving the problem or for providing their…
We present a dynamic programming-based solution to a stochastic optimal control problem up to a hitting time for a discrete-time Markov control process. Firstly, we determine an optimal control policy to steer the process toward a compact…
The ergodic equation is a basic tool in the study of mean-payoff stochastic games. Its solvability entails that the mean payoff is independent of the initial state. Moreover, optimal stationary strategies are readily obtained from its…
This work develops an approximation procedure for a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. Both proportional reinsurance and excess-of loss reinsurance policies are…
We study Nash equilibria for the deterministic ergodic N-players game. We introduce pure strategies, mixed strategies and Nash equilibria associated with those. We show that a Nash equilibrium in mixed strategies exists and it is a Mather…
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…
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…
We study stationary mean field games with singular controls in which the representative player interacts with a long-time weighted average of the population through a discounted and an ergodic performance criterion. This class of games…
We suggest a new algorithm for two-person zero-sum undiscounted stochastic games focusing on stationary strategies. Given a positive real $\epsilon$, let us call a stochastic game $\epsilon$-ergodic, if its values from any two initial…
The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called "(decomposable) coarser transition kernels". This result covers various earlier existence results on correlated equilibria,…
A class of nonzero-sum stochastic dynamic games with imperfect information structure is investigated. The game involves an arbitrary number of players, modeled as homogeneous Markov decision processes, aiming to find a sequential Nash…
We study a new class of Markov games, \emph(multi-player) zero-sum Markov Games} with \emph{Networked separable interactions} (zero-sum NMGs), to model the local interaction structure in non-cooperative multi-agent sequential…
This paper addresses a class of two-person zero-sum stochastic differential equations, which encompass Markov chains and fractional Brownian motion, and satisfy some monotonicity conditions over an infinite time horizon. Within the…
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…
We prove that zero-sum Dynkin games in continuous time with partial and asymmetric information admit a value in randomised stopping times when the stopping payoffs of the players are general \cadlag measurable processes. As a by-product of…
Drawing intuition from a (physical) hydraulic system, we present a novel framework, constructively showing the existence of a strong Nash equilibrium in resource selection games (i.e., asymmetric singleton congestion games) with nonatomic…
We study two-player zero-sum stopping games in continuous time and infinite horizon. We prove that the value in randomized stopping times exists as soon as the payoff processes are right-continuous. In particular, as opposed to existing…
We study a stochastic differential game with $N$ competitive players in a linear-quadratic framework with ergodic cost, where $d$-dimensional diffusion processes govern the state dynamics with an unknown common drift (matrix). Assuming a…
This paper investigates the long-time behavior of zero-sum stochastic linear-quadratic (SLQ) differential games within Markov regime-switching diffusion systems and establishes the turnpike property of the optimal triple. By verifying the…
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of…