Related papers: Randomization in Optimal Execution Games
The distributed task allocation problem, as one of the most interesting distributed optimization challenges, has received considerable research attention recently. Previous works mainly focused on the task allocation problem in a population…
The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods…
We study the plausibility of sub-optimal Nash equilibria of the direct revelation mechanism associated with a strategy-proof social choice function. By using the recently introduced empirical equilibrium analysis (Velez and Brown, 2019,…
We consider a nonzero-sum Markov game on an abstract measurable state space with compact metric action spaces. The goal of each player is to maximize his respective discounted payoff function under the condition that some constraints on a…
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…
This paper considers a distributed Nash equilibrium seeking problem, where the players only have partial access to other players' actions, such as their neighbors' actions. Thus, the players are supposed to communicate with each other to…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
In this paper, we solve the problem of learning a generalized Nash equilibrium (GNE) in merely monotone games. First, we propose a novel continuous semi-decentralized solution algorithm without projections that uses first-order information…
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…
This paper studies the optimal extraction and taxation of nonrenewable natural resources. It is well known that the market values of the main strategic resources such as oil, natural gas, uranium, copper,..., etc, fluctuate randomly…
A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems…
We consider team zero-sum network congestion games with $n$ agents playing against $k$ interceptors over a graph $G$. The agents aim to minimize their collective cost of sending traffic over paths in $G$, which is an aggregation of edge…
The infinite horizon risk-sensitive discounted-cost and ergodic-cost nonzero-sum stochastic games for controlled Markov chains with countably many states are analyzed. For the discounted-cost game, we prove the existence of Nash equilibrium…
Model-free learning for multi-agent stochastic games is an active area of research. Existing reinforcement learning algorithms, however, are often restricted to zero-sum games, and are applicable only in small state-action spaces or other…
Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the uncertain outcome of other auctions: the so-called exposure problem. Given the gap in understanding of general simultaneous…
The large majority of risk-sharing transactions involve few agents, each of whom can heavily influence the structure and the prices of securities. This paper proposes a game where agents' strategic sets consist of all possible sharing…
A recent body of experimental literature has studied empirical game-theoretical analysis, in which we have partial knowledge of a game, consisting of observations of a subset of the pure-strategy profiles and their associated payoffs to…
We introduce a class of Bayesian bidding games for which we prove that the set of pure Nash equilibria is a (non-empty) sublattice and we give a sufficient condition for uniqueness that is often verified in the context of markets with…
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…