Related papers: Optimal Execution among $N$ Traders with Transient…
A Dynkin game is a zero-sum, stochastic stopping game between two players where either player can stop the game at any time for an observable payoff. Typically the payoff process of the max-player is assumed to be smaller than the payoff…
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many…
We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
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…
We study the performance of approximate Nash equilibria for linear congestion games. We consider how much the price of anarchy worsens and how much the price of stability improves as a function of the approximation factor $\epsilon$. We…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
We consider the problem of optimal charging of plug-in electric vehicles (PEVs). We treat this problem as a multi-agent game, where vehicles/agents are heterogeneous since they are subject to possibly different constraints. Under the…
Evidence games study situations where a sender persuades a receiver by selectively disclosing hard evidence about an unknown state of the world. Evidence games often have multiple equilibria. Hart et al. (2017) propose to focus on…
This paper studies oligopolistic irreversible investment with closed-loop strategies. These permit fully dynamic interactions that result in much richer strategic behavior than previous studies with open-loop strategies allow. The tradeoff…
Cooperation through repetition is an important theme in game theory. In this regard, various celebrated ``folk theorems'' have been proposed for repeated games in increasingly more complex environments. There has, however, been insufficient…
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general…
We consider N-player and mean field games in continuous time over a finite horizon, where the position of each agent belongs to {-1,1}. If there is uniqueness of mean field game solutions, e.g. under monotonicity assumptions, then the…
We extend anytime constraints to the Markov game setting and the corresponding solution concept of an anytime-constrained equilibrium (ACE). Then, we present a comprehensive theory of anytime-constrained equilibria that includes (1) a…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization…
We study the optimal liquidation of a large position on Uniswap v2 and Uniswap v3 in discrete time. The instantaneous price impact is derived from the AMM pricing rule. Transient impact is modeled to capture either exponential or…
This paper deals with N-person nonzero-sum discrete-time Markov games under a probability criterion, in which the transition probabilities and reward functions are allowed to vary with time. Differing from the existing works on the expected…
We consider 2-players, 2-values minimization games where the players' costs take on two values, $a,b$, $a<b$. The players play mixed strategies and their costs are evaluated by unimodal valuations. This broad class of valuations includes…