Related papers: Broker-Trader Partial Information Nash-Equilibria
In two player bi-matrix games with partial monitoring, actions played are not observed, only some messages are received. Those games satisfy a crucial property of usual bi-matrix games: there are only a finite number of required (mixed)…
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…
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…
Central results in economics guarantee the existence of efficient equilibria for various classes of markets. An underlying assumption in early work is that agents are price-takers, i.e., agents honestly report their true demand in response…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…
This work proposes a novel distributed approach for computing a Nash equilibrium in convex games with merely monotone and restricted strongly monotone pseudo-gradients. By leveraging the idea of the centralized operator extrapolation method…
The goal of agents in multi-agent environments is to maximize total reward against the opposing agents that are encountered. Following a game-theoretic solution concept, such as Nash equilibrium, may obtain a strong performance in some…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
This work proposes a policy learning algorithm for seeking generalised feedback Nash equilibria (GFNE) in $N_P$-player noncooperative dynamic games. We consider linear-quadratic games with stochastic dynamics and design a best-response…
We consider the problem of computing a (pure) Bayes-Nash equilibrium in the first-price auction with continuous value distributions and discrete bidding space. We prove that when bidders have independent subjective prior beliefs about the…
Solution methods for generalized Nash equilibrium have been dominated by variational inequalities and complementarity problems. Since these approaches fundamentally rely on the sufficiency of first-order optimality conditions for the…
Building upon the results in [Hinterm\"uller et al., SIAM J. Optim, '15], generalized Nash equilibrium problems are considered, in which the feasible set of each player is influenced by the decisions of their competitors. This is realized…
This study investigates differential games with motion-payoff uncertainty in continuous-time settings. We propose a framework where players update their beliefs about uncertain parameters using continuous Bayesian updating. Theoretical…
We design a distributed algorithm for learning Nash equilibria over time-varying communication networks in a partial-decision information scenario, where each agent can access its own cost function and local feasible set, but can only…
In this paper, we consider game problems played by (multi)-integrator agents, subject to external disturbances. We propose Nash equilibrium seeking dynamics based on gradient-play, augmented with a dynamic internal-model based component,…
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function…
We study a discrete-time financial market with a single constrained trader, competitive market makers, and noise traders. Within the class of linear equilibria, the equilibrium structure is shown to be uniquely determined by two state…
Establishing the existence of Nash equilibria for partially observed stochastic dynamic games is known to be quite challenging, with the difficulties stemming from the noisy nature of the measurements available to individual players…
We investigate asynchronous distributed algorithms with delayed information for seeking generalized Nash equilibrium over multi-agent networks. The considered game model has all players' local decisions coupled with a shared affine…
We study correlated equilibria and coarse equilibria of simple first-price single-item auctions in the simplest auction model of full information. Nash equilibria are known to always yield full efficiency and a revenue that is at least the…